This excerpt taken from the C 10-Q filed Nov 6, 2009.
Credit Valuation Adjustment Related to Monoline Insurers
CVA is calculated by applying forward default probabilities, which are derived using the counterparty's current credit spread, to the expected exposure profile. The exposure primarily relates to hedges on super senior subprime exposures that were executed with various monoline insurance companies. See "Direct Exposure to Monolines" below for a further discussion.