Besides the trade commission and the coupon, of course. Do they charge you anything to borrow the bonds for shorting them? The SLB rates tool in TWS doesn't list any bonds. Presumably they'd have to charge you something so that you can't just short 1 month T Bills and get effectively 0% margin interest that way. [EDIT: lol, apparently they just prohibit retail investors from shorting T-Bills. But maybe you can still short treasury bonds with less than 1 year to maturity, for the same effect.] [Edit #2: The 2nd trade is cancelled because IB says it "cannot compute a value for this contract" to short $100k face value of treasury bonds with <1 year to maturity] [Edit #3: Tried shorting yet another variety of US Treasury, and it said "THIS ACCOUNT MAY NOT HOLD SHORT BOND OR SHORT T-BILL OR SHORT WARRANT POSITIONS". But there's only one box on the permissions page for US bonds, and it's checked...] [Edit #4: It will let me short JNJ bonds with negative YTM, but the margin requirement on those is ~50% so not really worth it... My short equity positions generally earn more with a much lower margin requirement...]
Most brokers will hold the cash you get from the short sale in an account that earns no interest, unlike the big traders that get to earn interest on the proceeds. However you can achieve what you want by shorting the corresponding futures contracts, which not only effectively pays you interest on the proceeds of the short, but is much more liquid and has much lower margin requirements that an outright short.