Every offspring had a parent. You are still not understanding that there was no first mammal. mammal is a type, a word, a human concept. Life is an unbroken chain. At no time ever was there a parent and offspring that were more than a few crossovers different from each other.
Your mistake, as I've said above, is you are failing to conceptualize outside of the artificial language of species, type, mammal, etc. These things do not exist other than to facilitate language. In reality there is an unbroken lineage of humans back to protocells. For facilitation of communication, we construct a language and jargon that categorizes different aspects of this chain to distinguish the subject of current conversation.