My cheap air to air heat pump in the summerhouse (Panasonic HZ25ZKE) is effective down to -25C and has a COP of 2.22 there. Even at -25C it still delivers twice as much heat energy as the electricity consumed.
https://www.aircon.panasonic.eu/DK_da/product/panasonic-hz25...
I'll add that this being an older house (1970s) we have "other issues" that causes heat loss, so we usually run the log burner for supplementary heat during those few days of -20C. The heat pump can keep the house warm, but you can feel the cold "pushing in" from walls and windows (dual pane).
Sadly the heat pump has also kinda voided all attempts to renovate for saving energy. Our yearly heat cost (heating and warm water) is around €750, and adding insulation would cost around €3500, for a potential saving of around 10-20%, so a total of 20-30 years to earn itself back again.
This is also my experience in upstate New York at such temperatures.
But it really made me realize that even though I'm used to brick houses and stone everywhere that that is a terrible thing efficiency wise. A properly insulated wooden house can indeed be heated almost by body heat and waste heat alone. The big loss is windows so triple insulated and properly mounted windows are a must for such a setup.