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FREDERICK, Colo. — Prosecutors say the homicides of Shannan Watts, who was 15 weeks pregnant, and her two daughters occurred in the family home.

Her husband, Christopher Watts, appeared in court for the first time Thursday. He is set to face formal charges next week.

Watts was arrested Wednesday night is being held in the Weld County Jail on three charges of first-degree murder and three charges of tampering with physical evidence in the deaths of his 34-year-old wife Shanann and his daughters, 4-year-old Bella and 3-year-old Celeste “Cece.”

VIDEO: Day before arrest, man accused of killing pregnant wife, daughters pleaded for their return

The Colorado Bureau of Investigation said Thursday the body that is believed to be that of Shanann Watts was found on the property owned by Anadarko Petroleum, where her husband worked.

The bodies of their daughters were found “in close proximity” to the body of their mother later Thursday, the Frederick Police Department said.

Watts will appear in court again on Tuesday.