This quest starts with Brynjolf. Head to Mercer's Manor and make your way to the back yard. If you bump into Vald, bribe or kill him, your choice. Look under the balcony and shoot to release a ramp. Enter the Manor and avoid the bandits inside. Make your way downstairs and find the wardrobe. Inside of the wardrobe is a false wall that leads to a secret passage.
Take the secret passage to Mercer's office and ransack the place. Take his plans and his sword Chillrend. Jump through the hole into the Ratway and make your way to the Ragged Flagon.