The 14th Signals Regiment is currently based at Cawdor Barracks near Haverfordwest in Pembrokeshire
The Regiment is part of the Royal Corps of Signals.
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Medication designed for animals was taken from the building in Abertillery on Thursday night.
More than a thousand riders will be taking part in a series of events in and around the town.
Some warm spells of sunshine will develop, although scattered heavy and thundery showers are also expected during the afternoon.