They told her about their break in at Gringotts. As she had predicted, they had gotten some help from Griphook, who they had made a deal with involving the Sword of Gryffindor. Apparently Bellatrix had a fake replica of the sword in her bank vault, which was how they figured out that she might also have a horcrux. Harry affirmed her theory that it was in fact Hufflepuff’s Cup.