Pros/cons to holding rainy day fund in a US treasury bond index?

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Still subject to interest rate risk

Interest rates and bond prices have an inverse relationship to each other.

Interest rates up = bond index prices down
Interest rates down = bond index prices up

SA1 is just saying that bonds, although seen as safe, can still be subjected to external factors, like interest rates, that can affect its value.

If the rainy day fund is your emergency fund, it might be simpler to keep it in a HYSA where it can’t be affected by anything

Yeah...a money market fund is a better idea, esp. in an interest rate environment where eventually rates go up.

What about spreading your rainy day fund between a few things, I.e. a portion in HYSA, a portion in treasury bond fund (short and intermediate term) and a tiny bit in investment grade bonds. FWIW, my rainy day fund (all my cash) is actually close to a year of living expenses...I like keeping a lot in cash.

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