U.S. Marshall Mary Shannon is a federal agent assigned to the DOJ's Witness Protection branch in Albuquerque, New Mexico. She was summoned to New York City on an unrelated case to deliver a witness to testify. While there she came to the Major Case Squad and informed the Detectives about Frank Chess's time in Witness Protection. She's offered the chance to help catch him, but refuses due to the fact that she had to be in New Mexico by 10 PM. (CI: "Contract")