1ke:
Of course God creates a soul at conception, and if a twin comes into existence God creates their soul at the moment of their conception.
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Generally speaking, the creation of the second soul probably does NOT happen at the moment of conception.
The soul is what animates the matter. At the time of conception, there is but a single cell, and this animated by only one soul.
The second soul, could either be created at the first moment of cell division, created two persons that grow together until they split, or at the actual moment of splitting.
Each has a presidence we can look at.
In the case of conjoined (Siamese) twins, we would certainly say they they are not a single soul, but rather two souls animating a conjoined body.
This is a great description of the two souls, each animating part of what appears to be a single zygote, but is, in realilty, two persons with a conjoined bodies.
In the case of a new soul being created at the moment of separtion, this happens all the time in real life.
If I take a cell from my body, in is no longer animated by my body, but rather by a new soul vegative (non immortal) soul that God immediatly creates. The cell is still alive, it is just not me as a person.
In the case of a zugote twinning, it could be the result of the creation of a new, rational, immortal soul that animates the newly formed body. (again think of the body formed of Adam’s rib being animated by the newly created soul of Eve)
Either one is acceptable for a Catholic to hold. In fact, as the Church has not yet ruled on exactly what happenes, a Catholic could also hold to the two souls at Conception; though, as pointed out above, there are some real theological issues that render such a belief improbable.