Long munis/short US treasuries...

…in a non-qualified HNW account.

I understand that in order to deduct the treasury interest payments there must be taxable interest.

The idea is to short a high fee 7-10 Treasury ETF and go long a heavily discounted similar duration muni CEF. Muni yields compared to treasuries are historically high and the discounts that can be had in the muni CEF world are historically high. The hope is to juice a couple of percent without using much purchasing power in a portfolio margin account.

Words of wisdom? Warnings?