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Pietro in Volume 7, confirmed that he gave Penny part of his Aura more specifically his soul. Aura is stated on numerous occasions to be the physical manifestation of one's soul, "you project yourself and your soul when fighting" as stated by Pyrrha. So they should've had it anyway, but Pietro uses his aura to create a "pseudo soul" if you will in Penny. Making her eligible enough to receive the Maiden powers which are also said to be tied to one's soul. Winter even confirms it after Penny receives it from Fria. This also applies to all their (Huntsmen) attacks and semblances. The reason being is that in the same scene, Pyrrha states "By barring your soul outward as a force you can deflect harm". As well as, "All of our tools and equipment are conduits for aura" this would cover their weapons, their physical attacks, and durability since they can defend against these attacks. Semblances are consistently described as the physical manifestation of one's Aura. Although, the Official Companion Guide says, "A Semblance is a personalized Aura manifestation". This would still mean that it also has some effect on the soul due to being an incarnation or embodiment of Aura.