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 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 risk-adjusted investment performance deteriorates notably on a sustained basis, the funds' liquidity weakens (with the liquidity reserve below 35% of trading capital on a sustained basis or if the funds make other meaningful illiquid investments), leverage increases so that our S&P Global Ratings-adjusted VaR-to-NAV ratio exceeds 35% on a sustained basis, or tail risk otherwise increases. We view an upgrade as a remote scenario over the

...Citadel's asset liquidity is a key rating strength. 97% of assets are level 1 or level 2, the most liquid. The funds have moderate leverage. Our scaled-up ratio of value at risk to net asset value (VaR-to-NAV) was a relatively limited 26% on average in 2022, meaning that the funds could potentially lose about one-quarter of their NAV in a '###' stress scenario over one year according to our estimates. There is adequate liquidity at the fund level. The funds have a track record of keeping at least 35% of NAV in cash or cash equivalents on a sustained basis, a level we believe is sufficient 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 increase temporarily. However, we believe that, to date, the funds have offset this risk with good risk management. Issuer Credit Rating...

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