Illinois Gov. J.B. Pritzker says he has “no concerns at all” about a possible federal criminal investigation into a property tax break he received on a mansion he bought in an upscale Chicago neighborhood.

Chicago radio station WBEZ reported Wednesday, citing a law enforcement source, that federal authorities launched an investigation into the tax break last October.

CBS News has not independently confirmed the existence of the probe, which WBEZ says is also targeting Pritzker’s wife and brother-in-law. The U.S. Attorney’s Office for the Northern District of Illinois did not immediately reply to a request for comment Wednesday.

“What I know is what you all know from the reporting that was done this week,” Pritzker said during an unrelated press conference on Wednesday morning, according to The Chicago Sun Times. The governor added that any review “will show that the rules were followed.”