The Prime Minister and his family have escaped to the Spanish Island of Ibiza for a week-long holiday.
According to Downing Street sources, Mr Cameron has been accompanied by a small team of key staff and is being kept up to date on developments in the Woolwich investigation.
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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.