With the development of the electric power system, the construction of electric power credit has achieved positive results, but there is still a certain gap compared with the requirements of the government and enterprises. In this paper, a vertical federated learning framework including user credit evaluation is proposed. By constructing a vertical federated learning credit sharing system between electric power companies and financial companies, the information barriers of both are reduced and the market transaction risks are reduced. Through the construction of refined electricity price pricing model based on user credit evaluation, it is beneficial to reduce the cost and increase the efficiency of users, and encourage users to develop with high credit and high quality.