The paper proposes a methodology to compute the valuation adjustment that an intermediary would charge to a customer for an Over-The-Counter (OTC) derivative contract. The adjustment accounts for the market liquidity of the undelying asset of the contract. A binomial example illustrates how to determine the fee of an OTC contract based on information on the market slippage (the net supply curve of the underlying), the risk aversion of the customer and his liquidity constraint
