Abstract
After 1970, securitization is one of the most important breakthrough and innovation in the financial market. Collateralized debt obligation（CDO）is a product of securitization market and has experienced rapid growth after 1996. The SPV selects a group of the worthful debt, which will create income in the future, as underlying asset of a CDO and issues some tranches to raise fund. In the procedure for pricing a CDO, we not only need to take individual default rate into account, but consider the correlation of the default rate at the same time. Under the single factor model, we broaden the restrictions of the fixed hazard rate in Hull and White（2004）and combine the JLT model in Jarrow, Lando, and Turnbull（1997）to get a time homogeneous Markov Chain which describes the transferred process of credit rating and default rate. Finally, we structure a complete method to price the fair spread of a CDO under the assumption of risk neutral.