Bank e-FX initiative/Best e-derivatives platform of the year: Citi

With an increasingly complex slate of solutions being marketed to clients for connecting to liquidity providers, and the landscape perceived to be diversifying away from single-dealer platforms towards aggregated, independent services, Citi took a view three years ago on how it should fulfil its obligations to clients.

Brian McCappin, global head of institutional FX and local markets sales at Citi, says: “We started to evaluate how we could present Velocity in a more flexible way. That allowed us to truly handle this world that was opening up before us, this fragmented connectivity that came to us through multiple different venues and channels.”

Clients said they wanted direct access to sell-side liquidity coupled with a robust post-trade workflow. In the Velocity universal blotter, Citi has realised a multi-year technology endeavour that gives clients direct access to its liquidity, with users communicating with its API services directly through their order-management system or via a third-party price aggregator.

Through Velocity, the blotter is integrated into the very heart of Citi’s sales ecosystem, being a tool that services all customers in all segments and geographies. With straight-through processing of orders from inception all the way through to allocation, the product delivers a high degree of automation in the flow of execution to settlement.

Velocity volume is at an all-time high, with the new adaptor processing more than $1 trillion in session volumes and in excess of 70,000 sessions in 2018.

McCappin says: “What we’ve seen over recent years has been a significant increase in the amount of volume being traded in the market generally. There has been a proliferation of many venues that aggregate liquidity at a more competitive price and deliver it in a more transparent way. As a consequence, there has been significantly lower friction in the form of execution costs and charges as clients trade FX, leading to improved liquidity.”

To users of Citi Velocity, these changes manifest as an extremely quick and competitive structured forwards pricer

Brian McCappin, Citi

The platform was described by judges as an impressive offering from a major dealer. Clients, meanwhile, said Velocity has not rested on its laurels, and combines great liquidity with innovation, analytics and access.

Citi picked up two awards at the 2019 FX Week e-FX Awards: Bank e-FX initiative of the year for the blotter; and Best e-derivatives platform of the year for the Velocity FX options cube, the firm’s proprietary options platform integrated into the blotter.

Key to the advancement of Citi’s execution suite over the last 12 months has been an emphasis placed on the reconstruction of its structured forwards offering, which has evolved in partnership with regional private bank partners. Developing the structured forwards options pricer within the options cube involved fundamental changes in both the graphical user interface for clients and internal mechanisms by which the bank generates and publishes prices.

Citi rewrote its pricing models to allow it to publish competitive pricing rapidly. Its second initiative was the provision of an API backbone to return streaming quotations in exotic options near instantaneously. Thirdly, it allowed clients maximum flexibility and customisation in defining preferences for their schedule definition, as well as multiple variations of payoffs.

McCappin says: “To users of Citi Velocity, these changes manifest as an extremely quick and competitive structured forwards pricer, which is key to supporting further client adoption of the options cube, so nicknamed because of its one‐click display of all surfaces – Greeks, a payoff diagram, volatility surface, delta hedge and the streaming pricer.”