It arises by tendinous fibers from the last segment of the Sacrum.

http://en.wikipedia.org/wiki/Coccyx

 It arises by tendinous fibers from the last segment of the sacrum, or first piece of the coccyx, and passes downward to be inserted into the lower part of the coccyx. It is a rudiment of the extensor muscle of the caudal vertebrae of the lower animals.