You have to pursue the black cat who ate Lilysse's ring. Head out from Central Square and enter the previously locked subway entrance to the north. This will open the Rochester Subway Line.
Fight your way through the first station. There's a memory in the middle of the map that should be immediately visible as you reach the loading area. Head to the middle-south portion of the map where you'll get trapped by a small enemy ambush. Defeat them all then go upstairs to find more enemies and a couple of chests. Once done, pick up the memory in the middle platform.
A harmless fiend named Collantine can be found in the middle of the station. She runs a Half-Demon Shop where you can spend Blood to purchase rare accessories and even Fetishes. There's also a chest near her behind a destructible pile of rubble. Once done, continue forth and fight through more enemies until you reach the doorway to C. Station Basement area.
There are wooden boxes that can be destroyed to the immediate left. Otherwise, go down the tracks and head north. Before taking the stairs to the right, have your servans destroy the pile of rocks near the closed gate so you can access the treasure chest behind. Go upstairs and follow the elevated tracks until you find the stairs leading down on the right side. If you head south, there's a pile of wooden crates. If you destroy it and enter the dead-end past that, you'll be ambushed by a group of alraunes. Defeat them and a golden chest will appear. Sadly, nothing special will come out of it. Once done, head further north to reach the next area.
There's a door in the Market Station section. Before entering it, go to the south of it to find a red chest. Skitterfoots will appear so take them out and loot the chest. Once done, enter it to return to the hotel. Before continuing this scenario (and subsequently ending this chapter), make sure to see the many things you can do during the Interlude. (see details in the following page)
When you're ready to continue with the scenario, head back to the Rochester Subway Line > Market Station gate. Head north to the next station area then destroy the pile of crates and boxes before taking the elevated railway that leads to the second half of the map. Behind that rubble is a treasure chest.
proceed forth until you find the cat. A gargoyle will appear so defeat it and you'll retrieve the ring from the cat. You'll be transported back to the hotel automatically and more events will play automatically that will fill up the whole scenario and complete the chapter.