So I live in Canada where our winters can get to -40C some nights (it's usually -27 to -35C). My ottbs grow a long coat that I don't clip. They get worked in the winter (not a whole bunch) and have free hay. Should I still invest in a winter blanket for them?
It really depends on the horse, if they have shelter to get out of the wind and don't appear to be shivering they might not need a winter blanket. It's good to at least have a rain sheet or light weight blanket that is waterproof though for when it's raining or actually snowing because if your horse gets wet they will have a harder time keeping warm. I've also never experienced -40 C so I don't really know a ton about it.
