Freshfields Bruckhaus Deringer advised CIBC World Markets and CIBC World Markets Corp as lead arrangers on the first European collateralised debt obligation (CDO) to have assets denominated in different currencies. This means that special purpose vehicle (SPV) Duchess I CDO is able to acquire bank loans, mezzanine debt, high-yield securities and synthetic securities in sterling and euro. The deal had a warehousing facility to house the assets in the SPV before it closed. It is also the first European CDO to use a revolving liquidity facility. The facility of euro175m (£106.15m) reduces negative carry in the ramp-up period when assets are initially acquired, and it provides funding flexibility. Freshfields has a longstanding relationship with CIBC but this transaction is the first CDO that CIBC has handled in the UK.