Well, it is part of fetal development. As the baby nears full term, the lanugo "falls off" (for lack of a better word). If you ever look at preemies, one characteristic is lanugo, usually on the arms, back, forehead, etc.
It can still be there in some full-term babies, too, but not in large amounts.
I would suspect that once you add more necessary fat to your body, the lanugo will disappear. In the meantime, if you continue having such low bodyfat, expect to see lanugo on your back, arms, and possibly your face and upper thighs.
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Lanugo (Growth of Downy Hair) 
Linear Mode
