Roy Thomson, a global investment risk manager of FBN Bank, is assessing Markets A and B using a two-factor model:

$$R_i = \alpha_i + \beta_{i,1}F_1 + \beta_{i,2}F_2 + \varepsilon_i$$

where $R_i$ is the return for asset $i$; $\beta$ is the factor sensitivity; and $F$ is the factor.
The random error $\varepsilon_i$ has a mean of zero and is uncorrelated with the factors and with the random error of the other asset returns.

In order to determine the covariance between Markets A and B, Thomson developed the following factor covariance matrix for global assets:

Factor Covariance Matrix for Global Assets	Global Equity Factor	Global Bond Factor
Global Equity Factor	0.3424	0.0122
Global Bond Factor	0.0122	0.0079

Suppose the factor sensitivities to the global equity factor are 0.70 for Market A and 0.85 for Market B, and the factor sensitivities to the global bond factor are 0.30 for Market A and 0.55 for Market B.

The covariance between Market A and Market B is closest to: