No, we bred them to be that way. Original sheep that lived 15’000 years ago were of course able to live in the wild and didn’t have fur as thick as modern sheep. Then someone thought that this fur looks nice and warm and decided to steal it from the sheep, until someone else noticed that when two sheep wit a lot of fur have a child, that child has just as much or even more fur! By repeatedly mating sheep that had lots of fur, the modern sheep came out.
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