Through an analysis of transaction level data, this study provides evidence of considerable price discrimination in the Indian over-the-counter (OTC) currency derivatives market. Clients transacting with a single bank (dealer) paid twice as much average mark-up as that incurred by clients with two dealer counterparties, while the same for clients transacting with ten or more dealers was close to zero. This alludes to the role of bargaining power in pricing, possibly, on account of dealer access. Retail clients (individuals, proprietorship firms and small firms) and unlisted firms were charged a higher mark-up vis-a-vis listed firms. A majority (83%) of clients transacted with a single dealer counterparty hinting at difficulties related to dealer access. The study makes a case for improving market access to enhance competition which may result in better pricing for clients.