Khanna sought the copy of Rai's statement recorded under section 164 of Criminal Procedure Code (CrPC) before a magistrate.
He approached the high court after the sessions court rejected his application seeking the same.
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Apart from Khanna and Rai, key accused Indrani and her husband and former media baron Peter Mukerjea are also in custody for their involvement in the alleged murder of Sheena Bora.
According to the prosecution, Sheena was murdered on April 24, 2012, but the crime came to light after the arrest of Rai in another case.
Rai was the first accused to be arrested in the case in August 2015, taking the lid off the murder, after he was picked up in connection with an arms case.
A sessions court recently allowed Rai to turn approver in the case and a prosecution witness. The court also granted pardon to Rai.
Last year, Rai had recorded his confessional statement before the magistrate under the provisions of section 164, which unlike the police statement, is admissible in the trial.
Indrani Mukerjea, her former husband Sanjeev Khanna and Rai had allegedly strangled Sheena (24), Indrani's daughter from an earlier relationship, inside a car in April 2012.
Sheena's body was found in a forest in Raigad. The crime, which came to light in August last year, is allegedly linked to certain financial dealings.
The trio was arrested in August last year, while Peter Mukerjea was arrested in November. According to CBI, Peter was part of the murder conspiracy.
While Peter and Khanna are lodged in Arthur Road prison, Indrani (43) is in Byculla women's jail in Mumbai.
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