"There is a letter for me" - but where?

I am playing through Assassin's Creed: Syndicate, on Xbox One. After completing one of the earlier sequences, as Evie, I returned to the train. Evie points out that a letter has arrived for Jacob. Due to my greater preference for playing as Evie, I ignored it.

I am halfway through Sequence 5, and have started to use Jacob a bit more. I have noticed that every time I fast travel to my hideout, Jacob says "There is a letter for me", where Evie only mentioned it once.

I have been all over the train, and can not for the life of me find any letter. The best I can speculate is that it might be related to one of the various souvenirs littered around the train that I have missed, although there was no prompts to suggest I had acquired any of the other souvenirs I have on display.

Another thought I have is that it might be mission related, and I have actually already picked up the letter, without noticing. My entire game has been wrought with bugs, so it would not surprise me if the game was constantly playing the audio clip, where it was not suppose to.

That said, I can not find anything related to the letter, online. And as I previously said, I can not find anything to do with a letter in the train, including all the souvenirs I can find.

What is the purpose of the letter that arrives for Jacob and where can I find it?