Ai bank does a regression analysis of its sectoral loan losses against total loans losses, both measured as a percentage of loans. The beta coefficients for the IT $($IT$)$ sector and manufacturing $($MF$)$ sector are as follow: ${}_{IT}=0\mathrm{.}6,{}_{MF}=0\mathrm{.}9.$ The intercept for both regressions is zero.

Comparing above results for the two sectors$,$ based on Modern Portfolio Theory, which of the following statements is TRUE?

Select one:

a$.$ The manufacturing loans have a higher systematic default risk and thus lower benefit of diversification.

b$.$ The manufacturing loans have a higher systematic default risk and thus higher benefit of diversification.

c$.$ The manufacturing loans have a higher unsystematic default risk and thus higher benefit of diversification.

d$.$ The IT loans have a higher systematic default risk and thus lower benefit of diversification.

e$.$ Both sectors have the same degree of unsystematic default risk and benefit of diversification.