The United States has issued a worldwide warning that Al-Qaeda may attack in August.
President Obama has ordered his national security team to "take all appropriate steps to protect the American people".
The US closed its embassies across the Islamic world this weekend.
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Sky's U.S correspondent Amanda Walker is in Washington - and has seen a copy of the White House warning.
Meanwhile, it has also prompted the UK to close its embassy in Yemen tomorrow and on Monday.
British Journalist Iona Craig, speaking from the Yemeni capital, Sana'a, says the foreign office is right to be concerned.