While pouring over Taccone's security cam footage, Kat realizes how the thief made off with the dude's paintings: he (or she) used a mini-submarine to dive to the bottom of the moat and cut a hole in the roof of a secret room down there, where the paintings were being held. Wow. Very Mission: Impossible, if you ask us. Even though they have a new lead, Hale is mad at Kat for going to talk to Taccone in the first place. He doesn't want her putting herself in any more danger than is absolutely necessary.
Kat smooths things over. Then she decides they have to figure out where this thief could have bought a submarine small enough to do the heist.