The coil in the picture above is a coiled piece of flexible circuit material with four printed circuit paths. The flexible circuit connects to two 2-conductor connectors on each end; one set is for the horn and the other set is for the airbag. The coiled circuit is housed in the two plastic half-hubs that join to make a sort of drum (in the picture, the drums halves have been separated and the coil has been stretched out to show how long the circuit actually is - when assembled, the unit is about 1/2" thick). The two hubs are free to turn, so the coil slips to contract and expand as the steering wheel is turned. This function used to be accomplished by brass slip rings, but this solution is much more reliable. Well, theoretically, anyway. In practice, the assembly will start to generate faults after a while that will trip the air bag light.
