Gregory Itzin and Piper Perabo Gregory Itzin and Piper Perabo

Where in the world is Teo — and Henry for that matter? Copenhagen.

On Tuesday's Covert Affairs (9/8c, USA), Annie heads to the Danish capital to track down not only Henry (Gregory Itzin), but Teo (Manolo Cardona), who took off after him when he learned that Henry had been funding the ALC and had been behind the bombing that killed Teo's mother.

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But before she goes, Arthur ( Peter Gallagher) needs to get something off his chest.Watch the exclusive sneak peek below to find out what it is.Covert Affairs airs Tuesdays at 9/8c on USA.