The beds had been stripped and a missing sheet matched one found with the bodies of Chris' wife, Shan'ann Watts, and their daughters, police say

When police arrived on Aug. 13 to the house Chris Watts shared with his wife, Shan’ann Watts, and their two young daughters, officers saw evidence confirming Shan’ann had recently returned from a trip.

Less apparent? Any clues about where she and her girls had gone, or why they vanished.

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These details were first revealed in an arrest affidavit released after Chris, 33, was accused of murdering Shan’ann, then 15 weeks pregnant, and kids Bella and Celeste in their home in Frederick, Colorado.

The first responding officer — summoned about 1:40 p.m. that August day by a friend of Shan’ann’s for a welfare check after they got back from a work trip in Arizona that morning — noted that all the doors and windows were closed and locked “with no way into the house.”

The officer called Chris, who came back to the residence and allowed him inside.

The scene showed that Shan’ann had indeed made it back safely — a suitcase was by the stairs, women’s shoes were by the door — but if she had left again, as Chris repeatedly told police, it seemed that she took nothing of importance with her except her children.

Her effects were all accounted for: Police said her “purse, wallet and medication were all located in the house.”

Image zoom Shanann Watts (right) and her daughters Shanann Watts /Facebook

RELATED VIDEO: Triple Murder Suspect Dad Chris Watts in Court

Even stranger signs did not portend anything darker, at least at first, the affidavit shows: Shan’ann’s phone, which was not found next to her purse in the kitchen, was located in the cushions of an upstairs sofa. The bedding in the master bedroom had been stripped off and bundled on the floor, but no “signs of foul play” were discovered.

What changed, however, was Chris’ story, according to his arrest affidavit.

He initially said he told Shan’ann, his wife of nearly six years years, about 5 a.m. that day that he wanted to separate after she got back from her trip around 2 a.m., and then he went to work while she was still in bed.

He told police that she said she was going to take their daughters to a friend’s home, though he could not name the friend, the affidavit states.

Later asked to recount the last time he saw his wife, Chris told another investigator that he and Shan’ann talked about him wanting to separate around 4 o’clock that morning and that she “told him she was going to a friend’s house that day.”

Finally, after authorities allege they discovered Chris was having an affair with a co-worker, he revealed the “truth,” according to the arrest affidavit: He claimed he killed Shan’ann in a “rage” after he told her that he wanted to split up and then witnessed her strangling 3-year-old Celeste. He said he also saw Bella, 4, lying lifeless and “blue” nearby.

Image zoom Chris Watts in court Joshua Polson/AP/REX/Shutterstock

Chris was arrested late on Aug. 15. On Aug. 16, authorities announced the bodies of Shan’ann, Bella and Celeste had been recovered on property belonging to his former employer Anadarko Petroleum.

A source close to the investigation previously told PEOPLE, “The theory that she [Shan’ann] did it doesn’t hold any water. There is absolutely no evidence that she killed her children.”

Chris is being held without bond in the Weld County Jail. He has not yet entered a plea.

His lawyer did not respond to PEOPLE’s requests for comment but, according to a statement from the state’s public defender’s office, their attorneys are barred from discussing ongoing criminal cases.