Cold Mastery doesn't break immunities. Only the Conviction Aura and Lower Resist Curse can do that. If the immunity is broken, *then* Cold Mastery will kick in as normal.
When breaking an immunity, the -res from those works at 1/5 effectiveness.
For example, the Infinity RuneWord's Conviction Aura has -85% Light Res, so it will take 17% off if an enemy has 100-116 Res. Anything above 116 won't be broken. Cold Immunes often fall into that category, so Infinity isn't great for them, unfortunately.
Even when breaking an immunity, the enemy will usually still be left with a lot of Res (e.g. at 116 they'll be left with 99, with 83 at 100), so damage will be lower than usual. That's why additional -res (which applies as normal after an immunity is broken) from other sources is so useful. Griffon's Eye is amazing on Javazons and Light Sorcs for this reason.
I saw somewhere that immunities are like 120% but I don't know if that's verified. ---
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