This paper analyzes the financing characteristics and risk of private SME bond，compares the differences between exchange market and regional equity market. Private SME bond is low-threshold，high risk and high return，restricted-resale financing tool，and also reflects high default，poor liquidity under the two types of market. Relatively，the management of exchange market is more mature，the risk of private SME bond is more fully exposed；regional equity markets is more efficient，and the supervision policy is needed to resolve market failure risk.