A capillary tube bundle sub-assembly for use in an extracorporeal heat exchanger includes a continuous capillary tubing wound about a core to define a plurality of capillary layers each including a plurality of capillary segments. The capillary segments each define opposing terminal ends adjacent opposing ends of the core. The capillary segments of each layer are circumferentially aligned relative to an axis of the core, with each successive layer being radially outward of an immediately preceding layer. The capillary segments are non-parallel with the axis, spiraling partially about the axis in extension between the opposing terminal ends. Each capillary segment forms less than one complete revolution (i.e., winds less than 360°). The segments within each layer are substantially parallel with one another; however, an orientation of the segments differs from layer-to-layer such as by pitch or angle.