The official name of this index is LCDX.NA.8. It includes 100 equally weighted reference entities that are (relatively) liquid in the Loan CDS market.
Coupon: 120 bps (you get paid 1.20% of the notional to go long the index) paid quarterly.
The LCDX index trades on a dollar price. For example, on February 8th the index closed around 90.6. This means that it is trading at a 9.4% discount to par. If you wanted to go long the index, you would not only get the 1.20% in coupon per year but you would also receive 9.4% 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 rules). For example, if the recovery rate was 75%, the loss would be 25%, so you would owe 25% * 1% weight of the name * your notional of trade.
The LCDX8 Index is trading with a notional factor of 97% as of 2/10/2008. Two names have cancelled (AMD and Mueller) and Movie Gallery triggered a credit event.
The LCDX8 Constituents are:
AMD
ACS
Aleris
Allied Waste
Altivity
AMC
American Airlines
Aramark
ArvinMeritor
Avis
Berry Plastics
Blockbuster
Boise
Boston Gen
Boyd Gaming
Burger King
Burlington Coat Factory
Cap Auto
Cedar Fair
Celanese
Centennial Cellular
Cequel
Charter
Chiquita
Constellation Brands
CSC
DaVita
Dean Foods
Del Monte
DIRECTV
Dole Food
Domtar
Education Management
El Paso
Emmis
Ford
Freeport McMoRan
Freescale
Fresenius
General Growth Properties
General Motors
Georgia Gulf
Georgia Pacific
Goodyear
Graham Packaging
Graphic Packaging
Hanesbrands
Hawaiian Telcom
HCA
HMA
HealthSouth
Hertz
Hexion
HLI
Huntsman
Idearc
Insight Midwest
Intelsat Corp
Jarden
Las Vegas Sands
Lear Corp
Lyondell
Masonite
Mediacom
MGM
MetroPCS
Michaels
Mirant
Momentive
Movie Gallery
Mueller
Nalco
Neiman Marcus
NewPage
NRG
Oshkosh
Owens-Illinois
Penn Gaming
RHD
Regal Cinemas
Reliant
Reynolds
Rockwood
Sabre
Sensata
Six Flags
Smurfit-Stone Container
Solo Cup
SunGard Data Systems
Supervalu
Toys R Us
Travelport
TRW
United Air Lines
United Rentals
Univision
US Airways
Visteon
Warner Chilcott
Windstream
Source: http://markit.com/information/products/lcdx/documentation.html