The security agencies are grappling with mystery of the letter received late on Thursday via mail which said, "Happy New Year we did it."

The letter also contained a lengthy statement against the Iraq war and had a California return address.

The Law enforcement agencies, meanwhile investigating the case are also looking into a border stop in Canada a month ago, ABC television network said, quoting "high-level" officials.

The channel said that a border stop in Canada had yielded evidence that may be linked to the case and that individuals are being sought, though Canadian authorities have declined to comment on the issue.

The border stop took place about a month ago, but US and Canadian authorities were now revisiting the incident because of circumstantial evidence noticed at the time of the stop and behavior of one of the four individuals in car, who fled when it was stopped, law enforcement sources were quoted as saying by the channel.

Evidence gathered during the stop included photographs of Times Square found in a backpack, and the material was given to US authorities.