Locating total cash movements in statements/TWS and computing accrued interest

A

AndreaG87

Hi all,

I have a question related to computation of accrued interest, which in my case is originating from trading fx crosses with non-synchronous delivery date. Delivery date can be asynchronous either by convention (for example, CAD.USD settles at T+1 whereas most of crosses settle at T+2) or because of some central bank festivity.

Now, my problem is: I would love to understand how to compute myself the expected accrued interest from operating fx pair trading by myself. The reason for doing so is that frequent FX trades can generate massive accrued interests.
In principle the computation is obvious (or please correct me if the following reasoning is wrong):

I take the CAD.USD (T+1) and EUR.USD as example. Assume I buy 100k EUR.USD and then buy 120K CAD.USD. In other words, I buy 100k USD from EUR and then convert the USD amount in CAD.

Since EUR.USD settles at T+2, to get my CAD, I actually ended up borrowing 120k USD for 1 day.

I would like to know where I could locate in statements and/or TWS the following information:
1) That I bought 100K EUR
2) That I borrowed 120K USD

I understand statements provide total cash movements but this information is given for crosses and not for individual currencies. Therefore, one can build (1) but there is no obvious way to get (2).

The reason why I want to engage in the above myself is that Settlement risk can quickly grow to enormous amounts if not accounted for and actioned.

thanks
 
IB offers various reporting tools in the online account management. There is a specific tool available to see daily accrued interest for each currency. You can specify the date range for this report. I'm not sure if that tool is available to you by default, or that they make it available to you upon request. Send them a message if you can't find it.
 
Do you remember the name of it? Is it part of one of the standard reports or it works like an API integration? I am asking because IBKR customer service is very reluctant in interpreting questions beyond the immediate.
 
AndreaG87 said:
Do you remember the name of it? Is it part of one of the standard reports or it works like an API integration? I am asking because IBKR customer service is very reluctant in interpreting questions beyond the immediate.
More...
I went to take a look at my account management at IB.
1. Go to the section Report -> Statements
2. Here you'll find Default Statements and Custom Statements. You can create a new custom statement by pressing the + sign next to it (see screen shot a.png). In my case is this custom statement called Interest Details, but you can give it any name you like.
3. Then you can edit the contents of that custom statement. To get the interest details you have to select the correct item (see screen shot b.png).
You may have to play a bit with this custom statement until it shows exactly the columns and data you are interested in.
a.png b.png
 
Thanks, I appreciate the help

Well, guess what? I don't have the item "Interest details" in my options. Perhaps because I'm under IBUK?

Anyway, I do have a rather useful item corresponding to total cash. I believe that will be enough.
 
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