How does Chauvelin blackmail Marguerite? What does he say will happen if she does not help him?

Chauvelin corners Lady Blakeney at the opera and reveals the letter he has found. If she does not help him, he will ensure that her brother is executed. He tells her that if she helps him at Lord Grenville's Ball to discover the identity of the Pimpernel, who is supposed to be meeting with his men in secret during the course of the party, then he will give her her brother's letter the next day, and she can destroy it.