Trading relationships in over-the-counter (OTC) markets are persistent and often exclusive, despite technological advances that have expanded clients' access to dealers. We rationalize this pattern in a model where trading relationships allow dealers to learn their clients' trading motives from their trading records. Relationship dealers set record-contingent quotes, generating price discrimination that mitigates adverse selection for liquidity-driven clients. Moreover, we show that clients prefer exclusive relationships to keep their record private. As a result, post-trade transparency and trading protocols that facilitate public inference of clients' trading records by dealers (e.g., Request for Quote relative to Request for Market) may reduce gains from trade.