CBS News has not independently confirmed that Chris Watts admitted to police that he killed Shanann, Bella and Celeste. Authorities didn't say anything about the whereabouts or conditions of the three.
The station says Shanann Watts' family was also told he agreed to bring officers to the bodies.
Frederick Police told a news conference earlier Wednesday that officers went to check up on Shanann and the girls in their home around 1 p.m. Monday after a concerned friend said she hadn't heard from Shanann.
One of her friends posted on Facebook that Shanann left her phone, purse, car seats and children's medicine at home Monday morning, CBS Denver reported.
By Tuesday afternoon, the CBI issued an endangered missing alert for all three.
Chris Watts told "Today" Wednesday morning he was living a "nightmare." He said the last time he saw his family was early Monday morning before leaving for work.
The FBI was assisting the CBI and local authorities with the investigation.
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