Last week, Malawi's President was reportedly angered by Madonna's claim to have built ten schools in the country.
She is quoted as saying: "Where are the 10 schools she has built? She is just building school blocks at already existing schools. In some cases she just renovated an already existing block.
"This is an insult to the people of Malawi. She can't be lying to the world at our expense".
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The threat level has been raised to critical by MI5's Counter-Terrorism Analysis Centre.
Prime Minister Theresa May announced the decision from Downing Street.
A man, apparently armed with a small axe and a large stick, was detained close to the event and police cleared the area as a precaution.