This Expression of Interest (EoI) describes the motivation for and the feasibility studies of a long baseline neutrino oscillation experiment (LBNO) with a new conventional neutrino beamline facility (CN2PY). The beam will be aimed at a next generation deep-underground neutrino observatory comprising a double phase liquid argon (LAr) detector and a magnetized iron calorimeter, located at the Pyhäsalmi (Finland) mine at a distance of 2300~km. The double phase LAr Large Electron Multiplier Time Projection Chamber (LAr LEM-TPC) is known to provide excellent tracking and calorimetry performance that can outperform other techniques. An initial 20~kton LAr fiducial volume, as considered here, comparable to the fiducial mass of SuperKamiokande and NOvA, offers a new insight and an increase in sensitivity reach for many physics channels. A magnetized iron calorimeter with muon momentum and charge determination collects an independent neutrino sample, and serves as a tail catcher for CERN beam events occurring in the LAr target. The long baseline physics objectives comprise the precise investigation of all flavor oscillations ($ν_μ→ ν_μ$, $ν_μ→ ν_τ$, $ν_μ→ ν_e$) with neutrinos and antineutrinos, exploiting the energy spectrum information of the oscillation probability ($L/E$ method) in appearance and disappearance modes, to provide unambiguous sensitivity to oscillation parameters, and a stringent test of the 3-generation mixing. The existence of CP-violation will be tested explicitly, which is different from simply extracting the $δ_{CP}$ violating phase from global fits of all available data. With an exposure of $2.25\times 10^{20}$~p.o.t. from the SPS at 400~GeV, a conclusive determination ($>5σ$~C.L.) of the neutrino mass hierarchy is possible for \emph{any} value of $δ_{CP}$. Although limited by statistics in the initial configuration, the $L/E$ method also yields a clean measurement of the CP-violating phase. With $1\times 10^{21}$~p.o.t., the existence of CP-violation (CPV) can be demonstrated at the 90\%C.L. for $∼ 60\%$ of the $δ_{CP}$ parameter space. This CPV-sensitivity is achievable in $∼$12~years at the upgraded SPS. It improves further with the increased exposure resulting from longer running periods and/or an increase in beam power and far detector mass. With the chosen location in the deepest mine in Europe at $-1440$~m ($∼$4000~m.w.e.), the already very large initial target mass provides an unique opportunity to observe new rare phenomena, independently of the CERN beam events. In the GeV range, evidence for Grand Unified Theories (GUT) can be searched for with nucleon decay signals. From 100~MeV to tens of GeV, the collection of thousands of atmospheric electron and muon neutrinos with good energy resolution and particle identification over a very large range of energies (SubGeV and MultiGeV) improves our understanding of this source and yields information on subleading oscillation effects, which provide additional and complementary sensitivity to the oscillation phenomenology including $\theta_{13}$, matter effects and possibly the CP-phase. At high energy, it allows an identification with high statistical significance and a study of $ν_τ$ appearance in atmospheric events. Below 100~MeV, neutrinos from a new galactic supernova burst would be recorded with large statistics, addressing the astrophysics of the supernova and neutrino flavor oscillations through the SN and Earth matter. Neutrinos from relic supernovae could also be potentially detected, depending on their flux and prevailing backgrounds. LBNO can also potentially detect as-of-yet unknown sources of astrophysical neutrinos, like for instance those that could arise from annihilation processes of WIMP particles in astrophysical objects, and study their flavor composition. The plan described so far is augmented with a concrete upgrade path to evolve towards an ultimate volume observatory by additional units of increasingly larger masses. With a three-fold increase in exposure (defined as the product neutrino beam power $\times$ far detector target mass), CPV becomes accessible at $>3σ$~C.L. for 75\% of the $δ_{CP}$ parameter space, assuming that all systematic errors can be controlled below the 5\% level. The LBNO far site at 2300~km from CERN could also represent the first step towards a Neutrino Factory project based on the decays of muons in the straight sections of a storage ring. Based on the expertise present at CERN and in European and in international research groups, and building upon the results of several years of EU-funded design studies, we are confident that the technology for the beam and detectors is sufficiently mature to allow for an early start to realizing the facility. We are calling on CERN to promptly support and engage in the prototyping of the near and far detector components, to investigate options for campaigns of detector performance characterization and calibration with test beams in the North Area, and engage in a collaborative effort with the LBNO Collaboration that should lead to a full engineering design of the CN2PY beam and to an LBNO Proposal by the end of 2014.