WATCH: Controlled Explosion Heard at Locked-Down Buckingham Palace

British Parliament member Jacob Rees-Mogg and former royal correspondent Michael Cole appeared unfazed as, what is believed to be a controlled explosion, took place just outside their door near Buckingham Palace live on the air. The Palace was on lockdown Tuesday after a man allegedly threw shotgun shells and other objects on the ground outside of the residence. The man was arrested after he approached the Palace gates carrying a suspicious bag, Metropolitan Police said. Law enforcement was inspecting the bag as Rees-Mogg and Cole were broadcasting live on GB News. They were quickly moved to another location after being told they needed to evacuate while on-air, shortly before a loud explosion was heard. “I think that was probably a controlled explosion in the background,” Rees-Mogg said on the broadcast. “But I assume as it’s happened, do need us still to evacuate? Because that’s now been and gone.”