At the 99% confidence level, the default loss level has a default probability, Tt, of 0.01. A default loss level of 0.01 corresponds to -2.33 on the standard normal distribution. The relationship between the default loss level and the given market return is:

$$x(m) = \rho(m) = \Phi\left(\frac{k - \beta m}{\sqrt{1 - \beta^2}}\right)$$ $$\Rightarrow \Phi^{-1}(x) = \frac{k - \beta m}{\sqrt{1 - \beta^2}}$$ $$\Rightarrow \Phi^{-1}(0.01) = \frac{-2.33 - 0.8m}{\sqrt{1 - 0.8^2}}$$ $$\Rightarrow -2.33 = \frac{-2.33 - 0.8m}{\sqrt{1 - 0.8^2}}$$ $$\Rightarrow m = -1.165$$