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Is there a catch to invest to treasuries close to maturity date? I don't want to lock the money for a long time, b/c the interest rate probably will go up. But I am concern that it's not that simple. Anything to look for?

Thank you so much for your responses. Here is more info that you've asked: I am looking for "catches" where I lose money instead of making them. Such as higher execution price or other hidden costs or price adjustments. (My brokers don't charge commissions for bonds) How far till maturity date I am looking to buy? - probably 1 year max. I am looking to buy US Gov Bonds/Notes/Bills close to the maturity date and hold it till maturity. Here is an example: if I buy this Note: 912828WW6 matures on 7/31/19, YTM - 2.34%, cost $99.81, coupon 1.62% Assumptions (please tell me if I am wrong): I am going to collect 2.34% annually (WTM can be slightly worse) till it matures and then collect $100 at maturity date. % that I am going to collect will be probably pro-rated - I'll have to share it with the seller to make up the time because I'll buy it somewhere between "dividends" dates. Please let me know your thoughts. Thank you all!

GemStone
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The question seems to be whether you can benefit from the (normally) higher yield of a longer-term bond but limit your risk by buying it close to maturity. The answer is you cannot, because you have to buy the bond at market price, which is based on the current market interest rate associated with the remaining term. Thus, your yield will be different from the yield with which the bond was originally issued. In the case of a stable, upward-sloping yield curve, a bond issued at par value will rise above par as it approaches maturity, then settle back down to par at maturity.

nanoman
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The US government does sell 4 weeks bill, you can go to the secondary market to find an even shorter duration one.

If the amount of cash you have is less than the FDIC insured amount ($250k), then an easier alternative is to just use a high yield/money market account (You can find many at https://www.bankrate.com/banking/money-market/rates/). They pay comparable rate (sometime even better!) to short duration treasury and your money is safe even if the bank fail.

You can also consider using a money market mutual fund or an ETF like this one as a way to invest in short duration bond. They are more liquid, easier to trade, but do charge a fix percentage fee. You'll have to sacrifice a little yield.

Finally if you do have a few million dollars or more that you want to stay in cash equivalent, then I think it makes the most sense to buy short duration t-bills directly. Keep in mind that if you want to trade smaller quantity of t-bills than the counterparty offer (typically face value $100k~$250k) on the secondary market (not an exchange!), usually your order can only get filled at a slightly worse price (as opposed to exchange traded products where a buy/sell market order is guarantee to filled at ask/bid price instantly). In this sense, t-bills are not as liquid as you might have thought.