(CNN) -- A murder suspect told police in Colorado he strangled his pregnant wife in a rage after he saw her on a baby monitor strangling the couple's 3-year-old daughter, Celeste, according to court documents.
Chris Watts said the couple's other daughter, Bella, 4, was already "sprawled out" on the bed and blue in the couple's bedroom, according to an arrest affidavit from Frederick police.
Watts confessed to burying his wife, Shanann Watts, 34, near two oil tanks and dumping his daughters' bodies in the tanks, according to the affidavit.
But prosecutors paint a different picture of the killing. Watts was charged Monday with three counts of first-degree murder in the deaths of his wife and young daughters. Two additional first-degree murder charges accuse him of causing the death of a child younger than 12.
The 33-year-old father also faces three counts of tampering with a body, and a count of first-degree unlawful termination of a pregnancy, said Weld County District Attorney Michael J. Rourke, who did not reveal a motive.
Watts, who was arrested last week, is being held without bond, with his next court appearance scheduled for Tuesday morning.
Defendant previously denied affair with co-worker, investigators say
Investigators said they learned Watts was "actively involved" in an affair with a co-worker. He had previously denied it in interviews, according to the affidavit.
Early on the morning of August 13, Watts said he told his wife he wanted to separate, and then the killings took place, court papers said.
Before Watts' confession, authorities used a drone that spotted a bedsheet in a field near the oil tanks, the affidavit said.
"The sheet matched the pattern of several pillowcases and a top sheet recovered from a kitchen trash can from [Watts'] residence early that day," the affidavit said.
In an emotional address Monday, Shanann's father, Frank Rzucek Sr., thanked authorities for finding the bodies of his family members. He said the family appreciated those who attended a candlelight vigil and expressed support.
"Keep the prayers coming for our family," he said, holding back tears.
Prosecutors: Pregnant wife was buried in a 'shallow grave'
Shanann, Bella and Celeste were reported missing August 13 from their home in Frederick, a town of about 8,600 people 30 miles north of Denver.
The location where their bodies were found on August 15 was the site of a petroleum and natural gas company where Chris Watts had worked, authorities said. Watts was terminated from Anadarko Petroleum on August 15, company communications manager Jennifer Brice said.
A court filing by prosecutors says Shanann Watts' body was "recovered from a shallow grave near an oil tank," and that "law enforcement recovered the bodies of defendant's two daughters from inside oil tanks located near the grave of their mother."
The girls' bodies were in an "oil well filled with crude oil for several days," Chris Watts' attorneys indicated in a court filing.
Autopsy results have not been released, but documents filed last week in Watts' arrest revealed some of the victims may have been strangled, along with other details.
On Monday, a judge denied several defense motions, including a request to require pathologists to swab the little girls' necks, throats and hands for DNA.
Watts' attorneys have not publicly commented on the case.
Friend recalls last time she saw Shanann
In a Monday interview on ABC's "Good Morning America," friend Nicole Atkinson said she dropped Shanann off at home about 2 a.m. August 13 after they finished a business trip.
"She went inside, turned around and waved at me and shut the door," Atkinson said.
Shanann didn't return calls later that day and missed a medical appointment at which she was expected to hear her unborn child's heartbeat, Atkinson said. Shanann was 15 weeks pregnant.
Atkinson said she contacted Chris Watts, but he didn't seem as worried as she thought he should be. Atkinson said she then contacted police.
In an interview with a local news station on August 14 -- after his family disappeared but before his arrest -- Chris Watts also said his wife got home around 2 a.m.
"We had an emotional conversation, I'll leave it at that," Watts told a reporter who asked whether they'd argued. "I just want them back. I just want them to come back."
Watts said he left for work about 5:15 a.m. that day and wasn't concerned when his wife didn't respond to his texts and phone calls since she'd just returned from being out of town.
But he grew worried, he said, when one of her friends contacted him around noon and said she wasn't responding to messages.
"I walked in the house and -- nothing," Chris Watts told KMGH. "She wasn't here. The kids weren't here."
Court papers showed the couple also faced financial problems in recent years and filed for bankruptcy in 2015. Their homeowners association, Wyndham Hill Master Association, recently sued the couple, saying they owed $1,533.80, according to a civil suit obtained by CNN.