An active fixed-income manager is considering two corporate bond positions for an active portfolio. The first bond has a BBB rating with a credit spread of 2.75% and an effective spread duration of 6, and the second bond has a BB rating with a credit spread of 3.50% and an effective spread duration of five years.

What is the approximate excess return if the BBB rated bond is held for six months and the credit spread narrows by 40 bps, ignoring spread duration changes and assuming no default losses?

A. 3.775%

B. 2.35%

C. 2.40%