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(CNN) -- The investigation into the actions of former NFL tight end Aaron Hernandez, who is accused of killing friend Odin Lloyd, has turned to Hernandez's fiancee as law enforcement searches for the .45 caliber gun used in the slaying.
Lloyd's bullet-riddled body was found in a Massachusetts industrial park on June 17, Father's Day, about a mile from Hernandez's Massachusetts home. He was shot five times, and the gun has not been found.
Prosecutors have accused the former New England Patriot of orchestrating what they call Lloyd's execution-style slaying. Hernandez, 23, has pleaded not guilty to murder and is being held without bail.
Search warrant affidavits obtained by CNN contain new details about fiancee Shayanna Jenkins. In them, authorities alleged that Hernandez, Jenkins, his cousin Tanya Singleton and Ernest Wallace "have all made overt attempts to hide evidence, render assistance for suspect to elude law enforcement, and to hinder and mislead this investigation."
Shayanna Jenkins has not been charged in connection with the investigation, and lawyers representing her fianc�, Hernandez, have not responded to requests for comment.
Wallace has been charged with accessory after the fact to murder.
The documents indicate investigators became suspicious of Shayanna Jenkins after they spoke with her sister Shaneah Jenkins.
Shaneah Jenkins was Lloyd's girlfriend.
The court papers describe the following allegations:
The day after Lloyd's body was found, Shaneah Jenkins told authorities she was with her sister, Shayanna, and two uncles at Hernandez's home.
During that time, Shaneah Jenkins said she saw her sister go into the basement with an empty trash bag. Shayanna asked Shaneah to borrow her car and had a cell phone "communication" with Hernandez.
The women's uncle told Shayanna that "Mr. Hernandez wanted weapons taken out of the house" and told Shaneah that weapons "were discarded into 'the woods.'"
The documents go on to describe a mysterious, if not cryptic, text message obtained by investigators from Hernandez to his fianc�e that allegedly read: "Go back in back of the screen in movie room when u (sic) get home an (sic) there is a box...jus (sic) in case u (sic) were looking for it!!! Member (sic) how you ruined the big tv Imao WAS JUST THINKIN bout that lol wink wink love u TTYL....K"
"TTYL" is common shorthand for "talk to you later."
According to the court papers, Jenkins allegedly answers: "ok-that was awful...Perfect tv...Love u."
About an hour later, a home surveillance video shows Jenkins leaving the house carrying something "rigid" and "consistent to a lock box or safe" placed inside a garbage bag and covered with clothing, according to the documents.
Police state Jenkins drove away and returned an hour later, but she was not carrying the "rigid" item back into the house.
Prosecutors have said no lock box was found in the home.
A search of a rented storage unit in Bristol, Connecticut, allegedly paid for by Hernandez, did not locate the weapon used to kill Lloyd, according to law enforcement officials.
Singleton, Hernandez' cousin, remained jailed on a contempt of court charge for failing to cooperate with a grand jury, according to two law enforcement sources.
Grand jury indictments are expected in the case as early as next week, officials have said.