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In the campaign, the 1st cohorts (there are two types, Early and regular, but they're not really different) can be obtained in two ways: As a reward for completing a Senate objective (generally rare, I remember geting that only once), and training them from Rome. Of course, the latter means destroying the Senate and securing the city. Once taken over, you can train as many 1st Cohorts in Rome as the population allows; remember that only Rome can train 1st cohorts; even after siezing ROme your other settlements can't train them.

As a side note, if under specific circumstances in battle you can lose an eagle; you need to have a 1st cohort in battle, and a 1st cohort unit is entirely destroyed/mostly decimated/routed (I never found out expactly what triggers it) and an even afterwards indicates the enemy took your 1st cohort's eagle standard, which is bad news for you. However, if playing non-Roman factions, seizing the enemy's eagle standard is quite aN (humous) achievement!

Smetimes whenever I feel like fooling around, I would teleport an allie's army with a 1st cohort, do battle with a far larger enemy force, and watch them lost utterly. Then I would see the allied general's traits and it has an "Lost an Eagle" trait as a result. Poor bloke!