She can be found inside Grand Council Chambers. He will, then, advise to talk with Asciene Rane about transportation to Mournhold. Matius will inform the Hero that the Dark Brotherhood has been inactive for a long time in Vvardenfell, but there are large active groups on the mainland of Morrowind. After arrival they will need to find Matius, who is patrolling the bridge that leads to the Grand Council Chambers. Nerevarine travels to Ebonheart to find this inspector.

Talking to a guard about this mysterious assassin will shock the guard and he will tell the Nerevarine about the Dark Brotherhood, and then direct them to Apelles Matius, an Imperial inspector, who arrived to Ebonheart from mainland Morrowind. Killing the assassin will begin the quest and a note appears in journal, guiding the Hero to any guard. The Nerevarine will be attacked during their sleep by an unknown assailant. Visit Asciene Rane who provides teleportation to Mournhold.You might check up there.' ― Company Guard

'I think I saw him walking the battlements.