Alberta, Canada.

You could layer up for mild cold, say down to -5C / 23 F.

But after a certain point you need a large volume of warm dry feathers around you.

The worst is probably actually freezing rain, which happens around 0C / 32 F. It’s not as cold, but the water and ice is more efficient than Alberta’s thin, usually dry mountain air at taking your precious heat away. You really want to be waterproof when that happens.