After being caught there is no point in telling more lies so if you are going to figure out what to do next you both need to have total honesty about the situation. Also you need to figure out what caused the affair to happen. Make a list of things that he needs to do before you even think about taking him back and remind him that he needs to earn the trust back and you have a total right to be suspicious of everything until you know for sure that things have #1 ended with the mistress #2 gotten to a place where you know he wants to be with only you. I am sorry!
start the long road tpo rebuild trust if you ever can