In this paper, we show that short-term funding liquidity risk in the Chinese interbank system affects global commodity markets. To circumvent capital controls, investors in China engage in commodity financing deals, by importing commodities, collateralizing them, and investing in high-yielding shadow banking products. Previous literature has focused on the interest rate differential between China and global markets to measure the demand for commodities as collateral. We add to the discussion by examining how the risk of shadow banking products affects commodity markets. Specifically, due to maturity mismatch problems of these products, we focus on Chinese short-term interbank funding liquidity risk. We find strong empirical support that this risk affects commodities futures risk premiums in China and global markets. Moreover, we show that this impact is stronger for metal commodities, which is expected, as metal commodities are better suited as collateral. Our findings provide new evidence on how the financing use of commodities affects the pricing of production assets