A Maine man accused of killing his ex-girlfriend and her new boyfriend on New Year's Day told another girlfriend: "If I can't have Heather, no one can have her," according to a police affidavit made public Friday.

Mark Penley, 49, has been charged with two counts of murder in the shooting deaths of Heather Bickford and Dana Hill, both 31, in their South Paris apartment. Penley made his first court appearance Friday, where he was denied bail and ordered to have no contact with the victims' families

According to court documents, Penley, from Peru, Maine, called police shortly before 8:30 p.m. Jan. 1 and said he had found Bickford and Hill dead. Officers arrived and found Penley holding Bickford and Hill's two-month-old daughter on the apartment couch. A Maine state trooper who spoke to Penley said he observed loose cartridges and a box of .22-caliber ammunition inside the suspect's car.

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An autopsy carried out Wednesday found that Bickford was shot five times, including three times in the head. Hill was shot three times. Penley denied killing the couple in an interview with law enforcement, instead claiming that Bickford had made "suicidal comments" and had once threatened him with a gun over the summer.

Police interviewed Bickford's landlady, a retired police officer who said Bickford had texted her on Dec. 30 to ask if the courthouse would be open the following day. The landlady, Laurie Woodhead, said Bickford wanted to apply for a protection order against Penley because he was "bugging her." Woodhead told Bickford the courthouse would be closed on Dec. 31.

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According to authorities, Shayanne Buck, Penley's former girlfriend, Bickford told her on Dec. 26 that Penley threatened to "f--k her s--t up" if Bickford didn't move back in with him. Buck also told police that Penley had entered Hill's apartment on July 4 and watched Bickford and Hill sleep for "fifteen to twenty minutes" before leaving. Buck said Penley later told her: "I could've done it there and then because they were sleeping side by side ... I could've popped them right in the head" before adding, "When I'm ready, I'll do it."

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In addition, a friend of Bickford and Hill told authorities that Penley confronted the couple outside a Paris bar on the night of Dec. 27. The friend, Nathan Wade, said Penley claimed Hill owned him $2,000 and Bickford told Wade that Penley had previously threatened to "blow his whole paycheck on bullets and kill 'em both."

Penley and Bickford broke up last May after an 11-year relationship.The Portland Press Herald reported that Bickford and Hill had been engaged in a dispute over child support payments dating back to 2010. In September 2012, a judge ordered Hill to pay more than $7,378 in back child support payments after DNA testing determined that Hill was the father of Bickford’s elder daughter.

Click for more from the Portland Press Herald.