How to parse this OFX file?

Your code seems fine, considering that the file isn't XML or even SGML. The only thing you could do is try to make a more generic SAX-like parser. That is, you simply go through the input stream one block at a time (where block can be anything, e.g. a line or simply a set amount of characters). Then, call a callback function every time you encounter an <ELEMENT>. You can even go as fanciful as building a parser class where you can register callback functions that listen to specific elements.

It will be more generic and less "ugly" (for some definition of "ugly") but it will be more code to maintain. Nice to do and nice to have if you need to parse this file format a lot (or in a lot of different variations). If your posted code is the only place you do this then just KISS.