Upon entering Riften for the first time, the Dragonborn will witness Sapphire in a verbal dispute with Shadr. Shadr loaned money from Sapphire in order to pay for a delivery, but the caravan was attacked. Speaking to Shadr and then Sapphire about the subject reveals that Sapphire organized the attack on the caravan herself, and was attempting to blackmail Shadr out of double the money. She can be convinced to drop it via persuasion or intimidation. Alternatively, she will offer you half the money she stole if you go back to Shadr and tell him you couldn’t convince her to drop it.
Through joining the Thieves Guild, it is discovered that Sapphire is also a member. She is initially irritable and generally unpleasant towards the Dragonborn, but further progression through the Guild’s quests will change this. Further conversation with Sapphire will reveal that she was captured and abused by a group of bandits, whom she later killed in an act of revenge.