The treasurer of a US bank is concerned about potential future interest rate increases by the Federal Reserve (FED) and their impact on the bank's net worth. After reviewing the bank's stress testing framework, the treasurer asks a manager to consider including an additional scenario in which the FED increases interest rates by 200 bps and to perform duration analysis on the scenario. The manager gathers information on the bank's balance sheet and the duration of each asset and liability item as provided below:

	Amount (USD million)	Duration (years)
Assets
Cash	400	0
Federal funds loans	400	1.0
Government securities and mortgages	600	5.0
Loans and leases	1100	3.0
Total assets	2500
Liabilities
Interest-bearing deposits (marketable)	1000	0.5
Other borrowings	1200	4.0
Total liabilities	2200

Assuming the current level of interest rates is 2%, which of the following is a correct statement for the manager to make regarding this stress scenario?