If you visit the Money Saving Expert and search under Travel Money there are loads of useful tips, as well as a calculator that gets updated daily so you can enter the amount you want to exchange and it'll tell you the best FX (Foreign Exchange) broker to use on that day.
If the CitiBank thing doesn't work out it may be worth speaking to Santander – they own Abbey and Alliance & Leicester in the UK and are a Spanish bank, so owning banks at both ends of the transaction they should be able to do something.
One word of warning though – Spanish Banks are a fee-based business model (not free banking like here the UK) so they charge for receiving money from other banks/branches!?! So if you look to open an account in Spain make sure you know the fee scale – it's more important on a current account there than the interest rate.