During the assault on Sanctuary, Marcus’ safe was blown out of the store and is likely somewhere outside the bounds of the city. Fast travel to Three Horns - Divide and head to the marker to get to Sanctuary Hole. You will find the usual assortment of Bandits here, with an optional objective to kill 25 of them. If you find their numbers lacking, then you can simply save and quit to respawn them.

Anyways, when you are approaching the marker, you see the bandits throwing the safe down into the hole, which leads to Caustic Caverns. There’s an elevator on the upper level that leads to the lower portion, where you can access the travel point to the likely new area. Caustic Caverns, if you’ve never been here before, is home to many different creatures, like Varkids, Crystalisks and Threshers.

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Approach the chest to find a large Crystalisk named Blue, who can be taken out like any other one.

As you travel through the place, you want to be careful not to step in the green liquid, as it’s corrosive. Once you get to the waypoint, you will find the chest situated on some kind of blue crystal, which turns out to be a Crystalisk named Blue. Treat it like any other one and it will go down quickly. Open the chest to reveal some risque pictures of Moxxi. Loot them all and either bring them back to Marcus for a relic (Lucrative Opportunity) or to Moxxi for a shotgun (Heart Breaker).