Rudy Giulini had been open about the incident prior to the release of the movie and has said that he was just untucking his shirt to pull out his mic, but the whole thing obviously does not play well for Giuliani in the movie, and ultimately Borat comes in and “saves the day” for his daughter.
This leads to an outright zany scene in the movie in which Borat’s daughter and Rudy Giuliana do, in fact, engage in an interview.
They go into a second room for a drink and at one point the scene looks a little compromising.
Awkward, and the tucking scene is what Kate McKinnon was alluding to on SNL.