Citadel Kensington Global Strategies Funds, Citadel Wellington LLC, And Citadel Finance LLC

The stable outlook reflects our expectation that the funds will continue to operate with moderate leverage (with the S&P Global Ratings adjusted VaR-to-NAV slightly lower than 35%) and adequate liquidity (with the liquidity reserve representing at least 35% of trading capital on a sustained basis) over the next 18-24 months. We could lower the ratings if investment performance deteriorates notably, if the funds' liquidity weakens (If the liquidity reserve falls below 35% of trading capital on a sustained basis or the funds make other meaningful illiquid investments), or if leverage increases so that our S&P Global Ratings-adjusted VaR-to-NAV ratio exceeds 35% on a sustained basis. An upgrade is a remote scenario over our two-year rating horizon. The three funds (Citadel

...Citadel asset liquidity is a key rating strength. A majority of assets are Level 1. Moderate leverage. Our scaled up-VaR-to-NAV ratio was a relatively limited 34% on average in 2021, and according to our estimates the funds could lose about one-third of their net asset value (NAV) in a '###' stress scenario over a one-year horizon. Adequate liquidity at the fund level. The funds are committed to keeping at least 35% of its NAV in cash or cash equivalent on a sustained basis, a level we believe is healthy to face potential liquidity needs in a stress scenario. Citadel's risk appetite is a rating weakness. The funds are willing to seize trading opportunities when they present themselves, causing risks to pick up temporarily. However, we view the funds' risk-management capabilities as good. The funds are open-ended and subject to redemption risk from investors. In a stress scenario, the funds may need to sell assets at a loss to meet investor redemptions, although strong safeguards are in...

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