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Nephilim is the mysterious young girl who first appears to Shion when KOS-MOS is to activate the Hilbert Effect on the Drone GX while inside the first seen Encephalon dive (KOS-MOS' Battle Simulator). She appears several other times before she finally speaks to Shion, warning her of Commander Cherenkov's condition.
During the Encephalon dive into KOS-MOS' subconsciousness, Nephilim appears after Shion witnesses her Father and her younger self walking away. The little information that she gives Shion, about herself is that she has been called Nephilim, ever since she's existed in her current form. From the conversation with Shion, it could be taken that Nephilim is a being from a higher plane of existence (perhaps the same plane chaos hails from?). However, her main purpose is unknown, but it seems to have to deal with KOS-MOS. There is a hint to this when she questions chaos, before disappearing from the playground.
She appears for the second time in the Encephalon, in the church (along with Feb), and accompanies the party when Shion (and Jr.) face their pasts. Once it's over, Nephilim explains that she can only come into contact with the real world for a short period of time, which also explains her ghostly image when she does appear. She (and Feb) can only exist in the world of consciousness, which is the reason why she called for them (we only see her contacting Shion). She warns them of one possible future, one involving KOS-MOS in her rightful form confronting U-DO (that seems to have engulfed the planet), a wave existence that will be awakening. The confrontation ends with a chain reaction from the two different beams colliding and destroying the planet, known as Miltia (and presumably everything else around it). Nephilim tells them, that she wanted them to face their pasts before it begins, however, she also knows that they're not ready yet. Nephilim also seems to know why Shion remains unchanged after being touched by a gnosis, but won't say just yet. She vanishes along with Feb, after saying that if they return to where it all began (Miltia), then they would see.
Nephilim appears to be cryptic when it comes to certain things. She either can't truly say, or wants Shion and the others to figure it out with the little hints she gives.
During Episode I, it's shown that the only person who seems to truly know Nephilim is chaos. The evidence of this can be seen when a shadow of him appears in the dream sequence (the silent dream). As well as when she questions him on the playground during the Encephalon dive.
Episode II doesn't provide anymore information about Nephilim though, she's rarely seen in the game. The first appearance (of two), she merely provides Shion with cryptic information as to where Febronia's sisters are and that there will be a choice to make. Her second appearance is towards the end of the game, after Jr. defeats Albedo. This time, she appears along with chaos, indicating that this is only the beginning.
Nephilim's role in Episode III is not yet clear. However, in one of the trailers Abel is shown drawing on the floor. After Shion leaves, the drawing is shown revealing that Abel was drawing the face of a girl, that resembles Nephilim. Is it Nephilim that he was drawing? Guess we'll have to wait to find out.

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