Tranches can have protected or unprotected principal amounts. A principal protected tranche guarantees that the investor will receive the return of the principal. However, if a covered event occurs, the single purpose reinsurer stops paying interest and can extend the maturity of the loan for up to 10 years. It then looks like a zero coupon bond. An unprotected principal tranche acts like a junk bond investment, with principal and interest at risk.
Weather patterns induce volume risk in a wide variety of commodity markets.
This volume risk is significant because volume responds to weather not price. A good example is natural gas. It is one of the most volatile of exchange traded commodities. Volume and temperature is a linear function. Price based instruments don't address the exposure because price reflects the global market.