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This is unnatural and will be perceived negatively by the search engines. If you must link to one of your sites, create a page on site "A" talking about site "B" and then link the internal pages on site "A" to that one page on site "A".
However, those sites tend to have their own unique backlinks and aren't dependent on each other for the backlinks. They interlink because it makes sense for the user.
Interlinking sites for an SEO benefit only, especially a large network of sites, might not pass a hand check.