Azmaria Hendrick gives some background information on characters and the setting, with flashback scenes from the Chrno Crusade series itself.

The year is 1928 A.D. The place is New York, U.S.A. The economic prosperity brought forth after the Great War also heightened the presence of something far darker and much more sinister: the demonic Sinners. The Magdalene Order is an organization that tries to counter this force. Two of its exorcists are Rosette Christopher and her assistant, Chrono. Both appear out of place in an organization like this, and they are in a quest to find Rosette's missing brother, Joshua. Their relationships, secrets and fates can only be revealed in time...
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(Source: Anime News Network)

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