Today, via Atrios, we learn what happens if you announce that you're going to do exactly that:
[Standard & Poor's] said it slashed its ratings on Carina CDO Ltd's top tranche of securities by 11 notches to the junk level of BB from the top-notch triple-A after it received a notice on Nov. 1 saying that the controlling noteholders had told the trustee to liquidate.Italics mine. Like Atrios, I don't really understand exactly what's going on here. But it sure sounds like S&P is sending a message to anyone else who might be thinking of liquidating a CDO and thereby revealing what the underlying assets are really worth. Are they really that scared? Any experts care to weigh in on this?
....The trustee of the Carina CDO has started selling the asset-backed securities residential-mortgage backed securities and CDOs making up the CDO at the direction of the structure's noteholders, S&P said.
....The ratings cut on the Carina CDO is more severe than would be justified by the deterioration of the underlying assets because a decision to liquidate would depress prices and affect all notes that were issued, S&P said.