This is a rush transcript from "Hannity," June 21, 2012. This copy may not be in its final form and may be updated.

SEAN HANNITY, HOST: Tonight in a "Hannity" exclusive, for the very first time, the parents of slain Border Patrol agent Brian Terry are appearing together for an interview.

Now Josephine and Kent Terry, they know all too well the deadly ramifications of the Fast and Furious program. And like any parent would, they want those responsible for authorizing this reckless scheme to be brought to justice. But time after time, they have been met with nothing but obstruction by the White House. And since the Terry family has not received answers from President Obama or the Attorney General Eric Holder, today they are launching the Brian Terry Foundation to honor their fallen son and to bring public awareness to this deadly and flawed program.

And joining me now in a "Hannity" exclusive are the parents of Border Patrol agent Brian Terry, Josephine and Kent Terry.

Thank you both for being here. And I know this has got to be very hard on both of you. Here your son is out protecting our borders and our country, he loses his life. So, I know I speak for a lot of Americans, and you are both in our hearts and in our thoughts and in our prayers, thank you both for being here.

JOSEPHINE TERRY, MOTHER OF BRIAN TERRY: Thank you.

KENT TERRY, FATHER OF BRIAN TERRY: Thank you.

HANNITY: Let me start, Kent, let me ask you, when you heard that the government provided the weaponry to the cartels and criminals and drug dealers, the very guns that were used to kill your son, what was your reaction?

KENT TERRY: I was very furious.

HANNITY: Yes. And you, Josephine?

KENT TERRY: I was very upset.

JOSEPHINE TERRY: I didn't believe it. I thought it wasn't real.

HANNITY: It is almost too much to believe, isn't it? Go ahead.

KENT TERRY: Like it's a bad dream. Like I'm going to wake up.

JOSEPHINE TERRY: It's like they weren't telling us something that we wanted to hear. It was like, it was a fog.

HANNITY: Yes. You have been watching what has been going on, you watch Congressional hearings. Let me remind our audience and remind you, Congressman Darrell Issa questioning Eric Holder on the issue of your son and the loss of your son. Let me play this for you.

(BEGIN VIDEO CLIPS)

ATTORNEY GENERAL ERIC HOLDER, MAY 3, 2011: Who exactly was involved? What level of knowledge was, who should be held accountable if, in fact, there were mistakes that were made. That's what the inspector general will be looking at.

REP. DARRELL ISSA, R-CALIF.: What am I going to tell agent Terry's mother about how he died at the hand of a gun that was videotaped as it was sold to a straw purchaser, fully expecting it to end up in the hands of drug cartels?

HOLDER: Well, you know, one will have to see exactly what happened with regard to the guns that are at issue there.

HOLDER, NOV. 8, 2011: I certainly regret what happened to agent Brian Terry. I can only imagine the pain that his family has had to deal with, in particular his mother. I'm the father of three children myself. We are not programmed to bury our kids.

(END VIDEO CLIPS)

HANNITY: Mr. Terry, your reaction to that?

KENT TERRY: Well, I don't think my son should have went before me, you know. It's very hard.

HANNITY: Yes, Josephine?

JOSEPHINE TERRY: To me, I was just flabbergasted because I think that all of this was useless. It should have never happened.

HANNITY: What do you think -- I understand there was a moment when the attorney general was confronted on whether or not he had contacted you, both of you, about the loss of your son, guns provided by our government, and before you even got the apology, I understand it, it was leaked to the press. Because he was kind of embarrassed in that Congressional hearing because nobody, as I understood it, up to that point had contacted you? Is that true.

JOSEPHINE TERRY: That's true.

KENT TERRY: It's true.

HANNITY: So, how did you find out about the attorney general finally apologized after Congress kind of embarrassed them into it? Mr. Terry.

JOSEPHINE TERRY: A letter.

KENT TERRY: A letter.

JOSEPHINE TERRY: After it was made public in the media.

HANNITY: Has President Obama ever reached out to you?

KENT TERRY: No.

JOSEPHINE TERRY: At the funeral he called us.

HANNITY: He did call?

JOSEPHINE TERRY: At the funeral home. At the funeral home but --

KENT TERRY: You couldn't understand what he was saying. I couldn't, anyway.