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GREELEY, Colo. — Christoper Watts claims he caught his wife, Shanann Watts, strangling one of their daughters to death before he strangled her in “a rage,” according to an arrest affidavit.

The document says Watts was “actively involved” in an affair with a co-worker that he admitted to after initially denying it, according to prosecutors.

RELATED: Christopher Watts arrest affidavit

According to the document, Shanann Watts arrived home in Frederick from a work trip at 2 a.m. on Aug. 13.

Christopher Watts said he woke up for work at 5 a.m. and they began having an “emotional conversation” about separating.

Christopher Watts told investigators that he initiated the conversation and wanted to separate.

Christopher Watts said he went downstairs for a moment after the conversation and when he returned to the couple’s bedroom, he claims he saw by a baby monitor 4-year-old Bella “sprawled out” on her bed and blue in the face.

Then he claims he saw by a baby monitor in the room Shanann Watts “actively strangling” 3-year-old Celeste.

He claims he went into a rage and strangled Shanann Watts to death. Christopher Watts said he then loaded bodies onto his work truck just before 5:30 a.m.

RELATED: Full coverage of deaths of pregnant mother, two daughters

Christopher Watts was formally charged with nine felony counts, including three counts of first-degree murder after deliberation, on Monday.

The body of Shanann Watts, 34, was recovered Thursday in a shallow grave near an oil tank on property owned by Anadarko Petroleum, where Christopher Watts worked as an operator.

Officials said Thursday night they found the bodies of the girls. Court documents said the girls were found in an oil well in close proximity to their mother’s body.

Court documents filed by defense lawyer James Merson said the girls had been submerged in crude oil for four days.

The Weld County Coroner’s Office confirmed the identities on Friday. The cause of their deaths has not been made public.

Defense attorneys asked for DNA samples from the girls’ necks by their own experts, but the motion was denied.

The judge did approve a motion compelling the pathologist to take DNA swabs of the necks of the children and to provide those results to the defense team.

Shanann Watts, who was 15 weeks pregnant, and her daughters were reported missing at 1:40 p.m. on Aug. 13. The Colorado Bureau of Investigation issued a missing-endangered alert for the three on Tuesday.

The Frederick Police Department, the CBI and the FBI canvassed the area before arresting Christopher Watts on Wednesday night.

A close friend has said she dropped off Shanann Watts at home about 2 a.m. Monday when they got home from a work trip. She saw her go inside.

She said the two friends were supposed to meet later in the day, but Watts didn’t answer her phone.

Christopher Watts said in an interview Tuesday that he didn’t know where his wife and daughters were.