Armor Piercing is a particularly odd stat in that it applies last, after all global conversions are already accounted for. So in your case, Silverbolt undergoes the following conversions:
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Any flat Pierce damage bonuses that come from your Equipment bonuses + devotions is converted into Cold when you use ABB, as conversions from skill modifiers come before global conversions.
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Any Physical to X conversions that you have (such as if you use something like Seal of the Night that converts 10% Physical to Cold) will happen afterwards, as Silverbolt is technically 100% Physical damage that gets converted into Pierce damage using the Armor Piercing stat.
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Any remaining Physical damage from the weapon will be converted into Piercing damage.
So to maximize the amount of Cold Damage from your ABB + Mythical Deathmarked set, you’d want as much Physical to Cold conversion as you can get, as that happens before the Armor Piercing stat.
This thread explains the Armor Piercing stat in a little more clarity.