Two U.S. service members are missing in southwestern Morocco after taking part in annual multinational military exercises in the North African country, the United States African Command said Sunday.

The U.S., Morocco and other countries participating in the African Lion exercise has a search and rescue operation, AFRICOM said.

“The incident remains under investigation and the search is on-going,” it said in a statement.

The incident happened on May 2 near the Cap Draa Training Area near Tan Tan, close to the Atlantic Ocean. The exercise started in April and is billed to end early May.

African Lion, a war games exercise, is the largest annual joint military exercise on the continent and usually features high-ranking military officials from the U.S. and its top African allies.

U.S. military officials have said the annual multinational engagement serves as a venue for strengthening regional security cooperation and refining the readiness of participating forces for global crises.