Hedging Strategies

The latest hedge fund strategy consists of buying high yielding convertible preferred shares of financial companies and shorting common shares as a hedge. This is a great strategy. The hedge is almost perfect. The upside is great with the convertible option. And the yield is probably much higher than margin rates for this strategy. I only have one question:

Is Citigroup lending hedge funds money to short their own stock?

This strategy is so tempting that I was considering it myself, for about five minutes. Then I thought, "Why hedge when I can go short?" This gives me a lot more conviction in holding onto my financial shorts. These short positions should benefit from additional short selling from hedge funds employing this strategy.