Question C1: For a currency swap involving principal and interest exchange, since there is exchange rate risk in addition to interest rate risk, do we need to assign the notional to both the currency and interest rate classes?
Yes, derivatives with exposure to more than one primary risk factor should be allocated to all relevant asset classes for the PFE calculation, so this transaction should be included in its full amount in both the Foreign Exchange hedging set and the Interest Rate hedging set.

Question C2: In a cross-currency swap with principal exchange at the beginning and at the end, and with fixed-rate to fixed-rate interest exchange so that there is no interest rate risk, should this trade be included only in the foreign currency category?
Yes, it should be treated as FX exposure.

Question C3: Is there any prescribed PFE treatment for a derivative such as a weather derivative?
Derivatives with "unusual" underlying such as weather or mortality are included in the "Other" hedging set within the Commodity asset class.

Question C4: Can trades with gold as the underlying asset be treated as currency derivatives?
No. Although gold often has been grouped with foreign exchange historically, for the CCR Standards it is to be treated as a metal within the commodity asset class.