An individual is in custody after setting off "an incendiary device" outside an immigration court building in lower Manhattan on Monday morning, the FBI told CNBC.

The FBI's New York Joint Terrorism Task Force is investigating the incident, which took place outside of 26 Federal Plaza, the agency said in a statement.

The New York Police Department's public information office told CNBC that "somebody set off fireworks" outside the building, which contains a U.S. Immigration and Customs Enforcement field office.

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