The aim is for your investment to reflect the performance of the Markit iTraxx® Crossover 5- year Short TOTAL RETURN INDEX (the "Reference Index"). The Reference Index measures the return for a credit protection buyer holding the most current issue of the iTraxx® Crossover credit derivative transaction with a term of 5 years. The performance of the Reference Index will depend on several factors including the market value of 5-year iTraxx® Crossover credit derivative transactions, returns arising from defaults by issuers included in the Reference Index and payments made for purchasing credit protection. Further information on the Reference Index is contained under "General Description of Reference Index".