A system and method for assigning loss of residential home value, due to systemic risks, through the creation and distribution of a financial instrument such as Home Value AssuranceTM ("HVATM"). HVATM is a process by which a capital market investor takes risk of a down-turn in national or regional real estate markets through a fully-funded index-linked note, while simultaneously providing contractual protection to consumers and institutions against drops in home prices due to the systemic pressures that drive home price index levels. The product may be sold to those who are exposed to the risk of a systemic downturn in residential home values, i.e. a singular home owner, an institution owning a portfolio of loans secured by liens on residential real property, etc.