This is a rush transcript from "On the Record ," August 5, 2008. This copy may not be in its final form and may be updated.

GRETA VAN SUSTEREN, HOST: Tonight, we are in Orlando, Florida, and missing Caylee Anthony's grandparents go "On the Record." Where is their - - where is their missing toddler? What's where we are. We're in the investigation to try to find out what happened. Casey Anthony, Caylee's mother, sits in jail not far from here, facing brand-new charges related to her daughter's disappearance. The urgent question: Could little Caylee be alive? Does the toddler's jailed mother know something, and something that's important, something that she is terrified to tell?

For the first time ever, Caylee's grandparents will take you into their back yard, where cadaver dogs searched and crime scene investigators dug, looking for evidence. And you will see the bedrooms of Caylee and Casey Anthony, and the bedrooms give you a sneak look into their lives and the mother-child relationship.

Moments ago, Caylee's grandparents went "On the Record."


VAN SUSTEREN: Has she been formally charged now? Because I heard that something today that she was going to be. Do you know if...

CINDY ANTHONY, MISSING CHILD'S GRANDMOTHER: Yes. Actually, I just spoke to her attorney as I pulled in the driveway -- I just got home a few minutes ago -- and confirmed because I had heard, you know, rumors about 10 to 15 minutes prior to speaking with him. And it was actually -- it wasn't a surprise to him, wasn't a surprise to us. I mean, that's the reason that they were holding her for, was willful child neglect and withholding vital evidence or something from the authorities.

Watch Part 1 of Greta's Interview | Part 2

But right now, I mean, he's -- her attorney and I am looking at this as a victory because if they had something else to charge her with, they certainly would have done that today. So that just tells us that they don't have anything on Casey. And they're not going to have anything on Casey. So they want to keep her there because they think she's going to crack and she's going to tell them exactly where Caylee's at. I mean, one thing I know for sure is that Casey knows who has Caylee, but she doesn't know where Caylee's at. And I know one thing for sure is that, you know, Casey is determined that she's going to protect Caylee until the end. If it costs her -- you know, her being behind bars the rest for life, she's going to protect Caylee.

VAN SUSTEREN: Do you 100 percent believe your daughter?


VAN SUSTEREN: George, what about you, 100 percent?

GEORGE ANTHONY, MISSING CHILD'S GRANDFATHER: More than 100 percent. I just had a chance to meet with her on Sunday.


GEORGE ANTHONY: For 43 minutes out of 45 minutes I got a chance to spend with her, all we did was talk about was Caylee, about her birthday, you know, so many different things that are going to be happening here. She wants to be home for that. So I believe my daughter. She's going to be fine, but I want my granddaughter home. She's going to be fine, so...

VAN SUSTEREN: Now, the police say that she's -- that she lies, you know, that she lied about her job, that she's given them a couple -- a runaround. What do you know about this? Do you know anything at all?

CINDY ANTHONY: I haven't had a chance to sit down and talk to Casey about, you know, a lot of different things, and I'm sure we'll have a big conversation when I have the opportunity to do so. You know, lying is not a criminal offense. You know, lying doesn't mean that you're a murderer.

VAN SUSTEREN: Let me talk about the timeline. We talk about finding Caylee, and the best way to do it is sort of explore it by looking at the timeline. June 13, there is video of her from a Father's Day event, right.

CINDY ANTHONY: No, it's June 15, Father's Day, which was mistaken early on because, you know, I never even thought about what day Father's Day was. I just -- I knew it was a Sunday in June I had taken that video, and I knew that was the last day that I physically saw her, even though I knew where she was sleeping the next morning. My husband actually saw Caylee and Casey leave on the 16th of June.

VAN SUSTEREN: All right. So the 15th is Sunday, Father's Day. Everything's normal, everything's fine. The next morning is the last day that either you or George saw her. Do you remember about what time of day it was?

GEORGE ANTHONY: Oh, specifically. I remember it was 10 minutes to 1:00 on Monday the 16th.

VAN SUSTEREN: So in the middle of the afternoon or early afternoon.

GEORGE ANTHONY: Yes, it was shortly after the lunchtime hour. I was watching a favorite show I like to watch on TV, a news...

CINDY ANTHONY: Before you go to work.

GEORGE ANTHONY: Yes, it's was a Food Channel thing I watched, so...

VAN SUSTEREN: And was it -- you were watching here in the living room.

GEORGE ANTHONY: Right, and I was sitting right here, almost in the same spot, just watching it, and saw my granddaughter and my daughter come out, you know, with their backpacks and...

CINDY ANTHONY: Like any other day.

GEORGE ANTHONY: Just like a normal thing type thing.

VAN SUSTEREN: Do you know where they were headed with the backpacks?

GEORGE ANTHONY: My daughter said that she was going to work, dropping her daughter off at the nanny's house, and that was it. I give them both hugs, kisses and saw them go out the door like a typical thing that they've -- that she's done.

VAN SUSTEREN: Nothing out of the ordinary?

GEORGE ANTHONY: Just smiles, hugs. Dad, we'll see you tomorrow because I might be working a little bit late, type deal. And that was it.

VAN SUSTEREN: Now, I know you won't reveal the details, but can you just tell me, has Casey told you what has happened to that child?

CINDY ANTHONY: Yes. In her way. And I can't reveal that.

VAN SUSTEREN: But in her way -- so that, I mean -- I know, George, that it was at least reported that you came out the other day and said that Casey said that Caylee was close, which is, you know, rather vague. Is that -- is that the kind of information that, Cindy, you have, or do you have, like, specific information that satisfies you?

GEORGE ANTHONY: She just feels that Caylee's close, she's still safe.

CINDY ANTHONY: And I think you can interpret that in a couple of ways. Close meaning within the central Florida area, close meaning in the neighborhood -- I don't think that's what she means -- close to maybe coming home. There's a lot of different ways to interpret that. My interpretation is that she's, hopefully, in this area.

VAN SUSTEREN: I guess it's not so much the comment, but I'm wondering whether she was -- you know, that she spoke the same way to you in conveying the information, you know, which is sort of code or vague, or whether she was much more specific with you, so that you say to yourself, Cindy, I know what happened, and I understand now why it has transpired as it has.

CINDY ANTHONY: No, I think that is just a genuine (ph) statement. I don't think that was a code. I think that's her gut feeling. Again, she's maintained all along that she doesn't know the physical whereabouts where Caylee's at. She knows who has her, who's responsible for taking her, but she does not know the physical whereabouts.

And this is her mom's room. This is Casey's room.

VAN SUSTEREN: This is Casey's room. And you told me that Caylee oftentimes slept with her mother, right?

CINDY ANTHONY: Oh, she -- almost every -- every night, she slept in here, from the time she was born.

VAN SUSTEREN: This is how the room is pretty much...

CINDY ANTHONY: This is how the room is always.

VAN SUSTEREN: And this is...

CINDY ANTHONY: Except for Caylee's toys usually being on bed, a blanket, some stuffed animals, those kind of things.

VAN SUSTEREN: Who's the father? I mean, that's the other big mystery that we don't know.

CINDY ANTHONY: Caylee's never had a father. He was a friend of Casey's. He's never been in Caylee's life. He's not on her birth certificate. He was a friend of Casey's that lives out of state. By the time Caylee was born, he had already started another family, and he passed away earlier in the year. And again, his family never had knowledge of Caylee. And that was a mutual thing that Casey and he had agreed upon, that he was not going to be part of Caylee's life. This is her life. Excuse me.

VAN SUSTEREN: I've never seen so many stuffed animals in my life.

CINDY ANTHONY: There's more!

VAN SUSTEREN: There more?


VAN SUSTEREN: There are little monkeys -- little monkeys, rabbits, tigers.

CINDY ANTHONY: You can tell the animals have been sleeping on her bed because her pillows are off of the bed. Tinker and Tillie (INAUDIBLE) up here (INAUDIBLE) since Caylee's not here.

VAN SUSTEREN: And the baby picture? The baby picture?

CINDY ANTHONY: Yes. That has a lot of Caylee's personality. That was in the hospital, what, two days after she was born. I mean, that's Caylee, expression like, You know what? You better -- you better behave, you know? She's just got her eye on you, so...

VAN SUSTEREN: And over here, the toys and all the books. What is this? Oh, her birth -- is this her first -- this is her very -- this is when she was born.

CINDY ANTHONY: Yes. I made that the first week, all those pictures within the first week of Caylee coming home. We had a baby shower. Caylee was born on a Monday night or Tuesday morning, and we had a baby shower for her on that Saturday. And this was a baby shower present that I put together for Casey, just within that week, with pictures Caylee's birth announcement.


VAN SUSTEREN: There's much more of our interview with the grandparents in a few minutes.

But first, joining us live here on the ground in Orlando is former LAPD homicide detective Mark Fuhrman. Mark, it seems that by virtue of what the mother is saying -- not the grandmother, the mother -- but there are three choices. One is that Casey knows something, but is completely innocent. Another is that she knows something but is complicit, involved. And the third is that she did something. Because she's not saying -- she's not saying, I don't know anything.

MARK FUHRMAN, FMR LAPD HOMICIDE DETECTIVE: Well, when you look at this, you can hypothetically say that she's a victim, along with her daughter. But the problem here is you have biological evidence in her car. She steals gas. She borrows a shovel. All these things kind of roll into a place that she's involved, not some independent or some remote or some anonymous person.

VAN SUSTEREN: All right. We don't have the biological information back. Certainly, it's suspicious enough to warrant to send it for testing. Maybe there's an innocent explanation. We're still -- you know, that's still being looked at.

In terms of the gas cans in the trunk, what the parents -- grandparents told us is that she had a problem with her gas tank, with some sort of gauge or sensor in it, and that she was bringing the gas along in the trunk. The sort of curious thing, and I think we'll probably see that in a moment in the next segment, is that -- in terms of the gasoline is that she broke open the home (ph) shed, busted the lock to get them.

FUHRMAN: Well, lookit, does anything make any sense? I'm just -- I'm shocked at the lack of relevant information from this entire family. We have a lot of belief and a lot of intuition and, I stand behind. But as far as evidence, Casey holds something very dear to her right now, either the information that she was involved or the information that somebody else was involved or a third party.

And what she's doing is, is she has completely removed herself from any normal emotion of a mother missing a child, and that is the most disturbing part for me.

VAN SUSTEREN: And of course, the police or the investigators need this information desperately.

FUHRMAN: They need it desperately, and if she's the only one that can provide it, if she doesn't provide it, then she is actually either the suspect or an accessory after the fact to the abduction and/or death of her own daughter.

VAN SUSTEREN: All right, Mark, if you'll just stand by?

Coming up: More of our interview with missing Caylee's grandparents. And for the first time, you will see the back yard where cadaver dogs sniffed and crime scene investigators dug, looking for evidence. That is coming up.

And later, the jailed mother's lawyer goes "On the Record." The burning question, Is Caylee alive? And is her jailed mother afraid to say where her daughter is because she fears something horrible could happen to her? You will hear him.


VAN SUSTEREN: Continuing now with missing Caylee Anthony's grandparents, and for the first time, you will see the back yard that crime scene investigators dug up looking for evidence after Caylee vanished.


CINDY ANTHONY: I was told that the dog was inconsistent on a hit here and...

VAN SUSTEREN: Here being right here at the house?

CINDY ANTHONY: Yes. And inconsistent where her sandbox was.

VAN SUSTEREN: Which is where?

CINDY ANTHONY: Where it's at now, roughly.

VAN SUSTEREN: Oh, is this the sandbox?

CINDY ANTHONY: That's the sandbox.

VAN SUSTEREN: That has a cover on it. OK.


VAN SUSTEREN: So there was -- there was an inconsistent alert here.

CINDY ANTHONY: Yes, an inconsistent alert over in the corner of the house.

VAN SUSTEREN: Meaning over behind -- near the pool?


VAN SUSTEREN: Now, so they never had, as you understand it, an alert. They rather had an inconsistent one.

CINDY ANTHONY: They had an inconsistent alert, so that's why they explained to us why the brought the second cadaver dog in. The second dog did not alert in the same spots that they did.



VAN SUSTEREN: Did not. All right. Did...

CINDY ANTHONY: And there was nothing that they found that had any -- you know, that they came up with any evidence.

VAN SUSTEREN: Does Casey say she borrowed a shovel from a neighbor?


VAN SUSTEREN: And what did she say her purpose of borrowing a shovel...

CINDY ANTHONY: To look (ph) for the bamboo.

VAN SUSTEREN: So to remove the bamboo, which grows very...


VAN SUSTEREN: ... Aggressively.

CINDY ANTHONY: Right. It does. And if we don't keep track of it -- if I don't get rid of that today, I'll have other shoots coming into the rest of the yard.

VAN SUSTEREN: Do you not have a shovel that she could have used?

CINDY ANTHONY: Yes, we do have a shovel she could have used. But if she was here and we weren't home -- George and I made a decision when we started locking the sheds this year because last year, Caylee wasn't able to do some of the things she can do this year. So we made a conscious effort to lock the sheds. We have three sheds.

VAN SUSTEREN: Are these the sheds were there was some report something was stolen from the sheds or broken into?

CINDY ANTHONY: Yes, and we actually need to replace a lot of stuff out here. But yes, this is one of the sheds that we would normally keep locked and normally keep the shovels in, which we do keep the shovels in. This is his toolshed. The lawn mower, you know, weed-whacker, that type of thing, shovels, axes, hoes, anything you do gardening work is locked up in here, like that. I mean, it's a normal shed.

VAN SUSTEREN: Was something reported stolen from this, though?

CINDY ANTHONY: Yes, gas cans.

VAN SUSTEREN: When was that report made that gas cans were stolen?

CINDY ANTHONY: You'd have to ask George.

VAN SUSTEREN: Was that, though, before Caylee was -- had been reported missing or after, that the gas cans...

CINDY ANTHONY: That was before.


VAN SUSTEREN: And gas cans were -- how many gas cans?

GEORGE ANTHONY: Two, the 2-and-a-half-gallon and one about a gallon- and-a-quarter, something like that.

VAN SUSTEREN: Now, you made the report on June 24, though. That's when you noticed it. Do you remember when you last were in there, so you have some sort of window of when that could have happened?

GEORGE ANTHONY: It could have been Sunday. I believe I was in there Sunday. I don't believe I was in there the day before that, like, on the 23rd. I'm almost positive it's a Sunday.

VAN SUSTEREN: So the Sunday the 23rd, you might have been in there?

CINDY ANTHONY: Well, Sunday would have been the 22nd.

VAN SUSTEREN: All right. So as best you can tell, it happened between the 22nd and the 24th. someone broke in there.


That's when I saw my daughter. I was getting ready to go to work, and the garage door goes open and my daughter comes in. This is about 2:25, 2:30 in the afternoon on the 24th. As she comes in the house, and I said, Hey, how're you doing? And she says, Fine, Dad. I says, Well, what's going on? And she says, Oh, I'm just stopping home for about 10 minutes, get some clothes. I go to go back to work. Where's Caylee? She's with Zanny. And I said, OK, when are you guys coming home? She says, Oh, we'll be back home maybe late tonight or the next day.

I said, OK. Have you been talking to Mom? Oh, yes, I talk to Mom every day. I said, I know, but did you talk to Mom today? She sort of hesitated for a moment and she says, Yes. And she says, Oh, by the way, it's a shame what happened in the shed. And I said...


GEORGE ANTHONY: And I said, Really? She says, yes. I said, Interesting. And I just said, Hey, by the way, I said, I'm getting ready to rotate your mom's tires on her car. There's a little metal wedge that fits underneath your tires so your car doesn't rock back and forth. And I said, Well, I'd like to have it, so in case you're not here over the weekend, I'd like to be able to do it.

She was hesitant about letting me get in the car. And I said, Well, listen, I got an extra key. I'll just go get it. Well, she was adamant about -- about that.

VAN SUSTEREN: What, not letting you into the car?

GEORGE ANTHONY: Yes, didn't want me to get into the car to get the stuff out. Dad, I'll get it for you. Dad, I'll get it out. I said, It's no problem. I know where it's at. I'll get it, get it out and be done with it.

So as we're walking out through the garage, she's still telling me, Dad, I'll get it. Give me a minute, I'll get it. I said, Casey, I'm capable of reaching inside your car, and I got it. So -- and she opened up the trunk of the car...

CINDY ANTHONY: The gas cans were there.

GEORGE ANTHONY: (INAUDIBLE) The gas cans there. She's the one that took the gas cans.


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