This work develops a rigorous setting allowing one to prove several features related to the behaviour of the Heisenberg-Ising (or XXZ) spin-1/2 chain at finite temperature T . Within the quantum inverse scattering method the physically pertinent observables at finite T , such as the per-site free energy or the correlation length, have been argued to admit integral representations whose integrands are expressed in terms of solutions to auxiliary non-linear integral equations. The derivation of such representations was based on numerous conjectures: the possibility to exchange the infinite volume and the infinite Trotter number limits, the existence of a real, non-degenerate, maximal in modulus Eigenvalue of the quantum transfer matrix, the existence and uniqueness of solutions to the auxiliary non-linear integral equations, as well as the possibility to take the infinite Trotter number limit on their level. We rigorously prove all these conjectures for temperatures large enough. As a by product of our analysis, we obtain the large-T asymptotic expansion for a subset of sub-dominant Eigenvalues of the quantum transfer matrix and thus of the associated correlation lengths. This result was never obtained previously, not even on heuristic grounds. 1