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问题如下：

A pension fund invests in a variety of asset classes including bonds, equities, commodities and currencies. To meet growing pension liabilities, the fund’s board has been putting a lot of pressure on the chief investment officer (CIO) to increase returns. One proposal that came up at the last board meeting was to invest in hedge funds. The chief risk officer (CIO), in preparing a quarterly report to the board, is concerned about giving an accurate and appropriate representation of the risk the fund faces, responding to several requests from the CIO for information to be included in the report, and investigating the issue of risks related to investing in hedge funds.One hedge fund being reviewed recently made a presentation to the fund’s investment team which includes the CO. At the presentation, the representative from the hedge fund stated that one of their strategies involves seeking potential fixed income arbitrage opportunities by identifying particular government-guaranteed Ginnie Mae (GNMA) MBS that trade at higher yields than equivalent Treasury securities. Which of the following statements regarding these yields differences is correct?

选项：

A.Both securities have no default risk. Therefore, the yield differences represent arbitrage opportunities which the hedge funds can take advantage of by buying GNMA MBS and selling short equivalent Treasury securities.

B.Both securities have no default risk. Therefore, the yield differences represent arbitrage opportunities which the hedge funds can take advantage of by selling short GNMA MBS and buying equivalent Treasury securities.

C.The yield differences do not necessarily represent arbitrage opportunities. The GNMA MBS trade at higher yield than equivalent Treasury securities due mostly to their higher default probabilities.

D.The yield differences do not necessarily represent arbitrage opportunities. The GNMA MBS trade at higher yields than equivalent Treasury securities due mostly to their negative convexities.