An underlying exposure with an effective annual price volatility of 6% is collateralized by a 10-year U.S. Treasury note with an effective price volatility of 8%. The correlation between the exposure and the U.S. Treasury note is zero. Changes in the value of the overall position (the exposure plus collateral) are calculated for a 10-day horizon at a 95% confidence interval. Which of the following would one expect to observe from this analysis?