Confetti in Thanksgiving Parade contained shredded police files

The Macy's Thanksgiving Day parade has become the focus of an investigation after it emerged the blizzard of confetti that accompanied the annual festival down Manhattan's streets last week featured shredded police records – including sensitive social security data and details about Mitt Romney's motorcade during the presidential campaign.

As the floats made their way from Central Park to the company's flagship store in midtown, some spectators were baffled to discover odd-looking lettering on the strips of paper fluttering in the wind.

One caught the eye of Ethan Finkelstein when it landed on his friend's jacket. "It landed on her shoulder and it says, SSN and there's a number that's written like a social security number," the 18-year-old New Yorker said. "And we're like, that's really bizarre."

A cursory survey revealed more details such as phone numbers, addresses, and more social security numbers.

The provenance became clearer when a partial seal on one of the strips pointed to the Nassau County Police Department on Long Island. "This is really shocking," said Mr Finkelstein. More troubling were strips that blew the cover of some covert Nassau County detectives.