LOS 54.g: relaxing assumption about different borrowing and lending rates on SML

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cnd

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From Schweser book 4, page 115: “a straight CML (capital market line) allows risk to be separated into its systematic and unsystematic components.”
What does the straightness of the CML line have to do with breaking risk into systematic and unsystematic components?
 
The market portfolio has only systematic risk. So a portfolio on the CML is exposed to only the systematic risk.
CML is a straight like because of the way it’s defined. I am not sure if the straightness itself can be interpreted to systematic and unsystematic components, since the context is not avialable above it’s hard to interpret.
 
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