This is a rush transcript from "On the Record," February 16, 2015. This copy may not be in its final form and may be updated.

GRETA VAN SUSTEREN, FOX NEWS HOST: This is chilling. A savage beheading video from Libya. ISIS militants saying the terror group now plans to, quote, "conquer Rome." What does ISIS mean by that?

FOX News chief intelligence correspondent, Catherine Herridge, joins us.

Catherine, you had the awful duty of watching this video. But tell me, conquering Rome?

CATHERINE HERRIDGE, FOX NEWS CHIEF INTELLIGENCE CORRESPONDENT: Well, analysts we've spoken to today here at FOX say that Rome has a couple of different meanings. One is that it is symbolic. A way of saying we are putting a target on the back of Christians. And the second, it's a way to drum up support within Libya for those who really have a lot of hostility towards Italy, because of its colonial past in North Africa. Kind of a two-for for this group. Drums up support for Libyans and a way of saying we are going to directly target Christians.

VAN SUSTEREN: Libya -- I use the term "Wild, Wild West" -- which is, you know, it is complete chaos there right now. It's hard to tell who is in charge and who is not. The fact that ISIS is spread to Libya, I imagine your intelligence sources are disturbed about this.

HERRIDGE: I want to lay out something I think is really important here because what you see is almost a marriage between two different terror groups now. You have the group Ansar Al Sharia, which was behind the Benghazi terror attack in 2012 on the consulate. They run these camps in eastern Libya. ISIS has come in, formed a partnership with them. And that is where ISIS is based. And it's no coincidence that it was on those camps that the Egyptian military launched the air strikes. So you have this kind of witch's brew of jihadists now operating in Libya just a few hundred miles from the doorstep to Europe.

VAN SUSTEREN: Doorstep to Boko Haram and everything they are doing in the northern part of Africa.

HERRIDGE: What I would say -- and there is not really evidence to support this. But when you speak with analysts outside of the intelligence community and inside the intelligence community, what they note is this acceleration, the speed at which this is moving. It's almost like an accelerant has been bowered on the fire. Think about the attack in Australia, now Denmark. Also this mass execution outside of Iraq and Syria. The feeling is that there will be something inside North America, a major attack before the end of the year because of the speed at which this is moving.

VAN SUSTEREN: Of course, we are looking at this map right now. It shows how close Libya is to Italy. And, of course, this is now, you know - -

HERRIDGE: The Italian interior minister, our version of Homeland Security, has done an interview with a major newspaper. They are staying he wants NATO to intervene. That's pretty clear evidence that they see the threat as credible.

VAN SUSTEREN: Of course, that map didn't even show Iraq and Syria all lit up as to what is going on there.

Catherine, thank you.

HERRIDGE: You are welcome.