This excerpt taken from the C 10-K filed Feb 22, 2008.
Losses on Subprime-Related Direct Exposures
During the second half of 2007, the Companys Securities and Banking (S&B) business recorded unrealized losses of $19.6 billion pretax, net of hedges, on subprime-related direct exposures.
The Companys remaining $37.3 billion in U.S. subprime net direct exposure in S&B at December 31, 2007 consisted of (a) approximately $8.0 billion of subprime-related exposures in its lending and structuring business and (b) approximately $29.3 billion of net exposures to the super senior tranches of collateralized debt obligations, which are collateralized by asset-backed securities, derivatives on asset-backed securities or both. See Exposure to Real Estate on page 48 for a further discussion.