It is beyond amusing the lengths to which CDO managers have gone (had gone) to avoid price discovery. But the day of reckoning approaches them all, if it has not yet arrived. Amusingly, two CDO managers I knew tangentially simply refused to accept reality. Their superior management ability made it impossible for their CDO structures to fail. The (Markowitz) efficient frontier was calculated to blend the tranches to perfect proportions, down to two decimal precision. Superior in every way these structures. Until they weren't. I can't help but poke fun.
cdo.mov [1 minute 18 second, 10mb quicktime H.264 movie]