The St. Louis city prosecutor will conduct a formal investigation into allegations that Missouri Gov. Eric Greitens (R) blackmailed a woman with whom he had an affair.

“Both parties and the people of St. Louis deserve a thorough investigation of these allegations,” prosecutor Kimberly Gardner said Thursday in a statement.

Gardner called the allegations “very troubling.”

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Greitens on Wednesday admitted to an extramarital affair amid allegations he threatened to release a naked photo of a woman if she revealed their relationship.

The Washington Post reported that a local television station played audio in which the woman allegedly talks about going to Greiten’s house in 2015, where she said he bound her to a piece of exercise equipment, blindfolded her and took photos.

Greitens’s attorney denied there was any blackmail involved.

Greitens was elected as governor in 2016. He ran for the office on being a family man, touting during the campaign that he was “a Navy SEAL, native Missourian and most importantly, a proud husband and father.”