Two U.S. service members are missing in Morocco after participating in annual military exercises called the African Lion, the United States Africa Command (AFRICOM) said in a statement Sunday, May 3.

The two service members were reported missing near the Cap Draa Training Area near the city of Tan Tan in southwestern Morocco. The incident happened on May 2 at about 9 p.m., the Moroccan military said, according to Reuters.

"U.S., Moroccan and other assets from African Lion immediately initiated coordinated search and rescue operations, including ground, air, and maritime assets," AFRICOM said in the statement. "The incident remains under investigation and the search is on-going."

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African Lion is an annual joint exercise hosted by Morocco, Ghana, Senegal, and Tunisia that aims to "strengthen interoperability among U.S. forces, NATO Allies, and African partner nations," according to the U.S. Army of Europe and Africa website. The exercise builds skills around joint all-domain operations, crisis responses and multinational interoperability, enhances regional security and supports AFRICOM's strategic objectives, the website states.