Trump is malevolent incompetence personified. He certainly has malevolence towards those who weren't loyal to the point of turning him into 'mein feuhrer', so he's motivated - but I think the incompetence is going to be an issue with setting up something as complicated as a new political party - and I'm not sure he's willing to take the time away from his golf game to get it done.

Threatening this is something to hold over the Republican party for leverage.

All that said, I hope he does it - just not expecting it to actually happen.