In the digital economy, customer data becomes particularly valuable. Customer transactions monitored by banks, payment systems, and retail platforms are a useful source of information to assess potential borrowers’ credit risk. Thus, a dominant player at a payment or deposit market, behaving strategically, may influence the characteristics of the lending market. In this article, we show, within the game-theoretic framework, that such dominance can affect the market structure, loan pricing, financial inclusion, and credit risk accumulated on banks’ balance sheets. Our results show that specifics of the digital economy set a new link between structures of deposit and credit markets. Information asymmetries allow the dominant player to increase its profits at the expense of the profits gained by other players. At the same time, the accessibility of loans to more risky borrowers reduces while credit risks of banks’ loan portfolios decline.