This paper constructs the yield market line which can reflect the pricing level of the collection of trust products and the bank financial products based on the portfolio theory,and evaluates and compares the market pricing efficiency of the collection of trust products and the bank financial products,the impact of liquidity risk on the colletion of trust products is most mtense;The efficiency loss of pricing in the collection trust of products is relatively small,and the market pricing efficiency is higher than the bank financial products. The increase of domestic market risks can reduce the pricing efficiency of the collection of trust products, but the overall influence is very limited,which shows that the pricing of the collection of trust products does not exist obvious constraints. The collection of trust products yields reflect domestic economic entity of financing cost and burden, and can be used as the standard interest rate in the process of marketization of interest rate in china.