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The western end of Chelsea Embankment, including a stretch of Cheyne Walk, is in the Royal Borough of Kensington and Chelsea; the eastern end, including Grosvenor Road and Millbank, is in the City of Westminster. Beneath the road lies the main low-level interceptor sewer taking waste water from west London eastwards towards Beckton.
The embankment was completed to a design by Joseph Bazalgette and was part of the Metropolitan Board of Works' grand scheme to provide London with a modern sewage system. It was opened on 9 May 1874 by Prince Alfred, Duke of Edinburgh.