The official name of this index is CDX.NA.HY.9. It includes 100 equally weighted reference entities that are (relatively) liquid in the High Yield CDS market.
Coupon: 375 bps (you get paid 3.75% of the notional to go long the index) paid quarterly.
The HY CDX index trades on a dollar price. For example, on February 11th the index closed around 87.6. This means that it is trading at a 12.4% discount to par. If you wanted to go long the index, you would not only get the 3.75% in coupon per year but you would also receive 12.4% upfront for the discounted price.
Credit Events: When a Credit Event, such as bankruptcy or failure to pay, occurs on one of the names, if you are long the index you are responsible for the loss. The loss depends on the recovery rate of the name, which is determined in a market auction (click here for auction primer). For example, if the recovery rate was 40%, the loss would be 60%, so you would owe 60% * 1% weight of the name * your notional of trade.
The HY9 constituents are1:
Qwest Capital Funding
Smurfit Stone Container
SunGard Data Systems
Toys R Us