Confidential Police Documents Found in Macy's Parade Confetti - Spark Investigation. (VIDEO)

Parade-goer found that confetti that fell on him and friends had detectives' social security numbers, bank info and unveiled undercover officers' identities.Something far more concerning than marching bands, balloons, cheerleaders and clowns was at the Macy's Thanksgiving Day Parade.

Confidential personal information is what some paradegoers found among confetti tossed during the world's most famous parade. That information included social security numbers and banking information for police employees, some of whom are undercover officers.

Ethan Finkelstein, who was home from college on Thanksgiving break, was watching the parade at 65th Street and Central Park West, when he and a friend noticed a strip of confetti stuck onto her coat.

"It landed on her shoulder," Finkelstein told PIX11 News, "and it says 'SSN' and it's written like a social security number, and we're like, 'That's really bizarre.'

It made the Tufts University freshman concerned, so he and his friends picked up more of the confetti that had fallen around them.

"There are phone numbers, addresses, more social security numbers, license plate numbers and then we find all these incident reports from police."

One confetti strip indicates that it's from an arrest record, and other strips offer more detail. "This is really shocking," Finkelstein said. "It says, 'At 4:30 A.M. a pipe bomb was thrown at a house in the Kings Grant' area."

A closer look shows that the documents are from the Nassau County Police Department. The papers were shredded, but clearly not well enough.

They even contain information about Mitt Romney's motorcade, apparently from the final presidential debate, which took place at Hofstra University in Nassau County last month.

Most significant, the confetti strips identified Nassau County detectives by name. Some of them are apparently undercover. Their social security numbers, dates of birth and other highly sensitive personal information was also printed on the confetti strips.

"I'm just completely in shock," said Finkelstein, 18. "How could someone have this kind of information, and how could it be distributed at the Thanksgiving Day Parade?"

It's a question that PIX11 wanted an answer to as well. The Nassau County Police Department told PIX11, via a written statement from its commanding officer for public information, Inspector Kenneth Lack, "The Nassau County Police Department is very concerned about this situation. We will be conducting an investigation into this matter as well as reviewing our procedures for the disposing of sensitive documents."

For its part, the sponsor of the parade, Macy's, told PIX11 News that it uses "commercially manufactured, multicolor confetti, not shredded paper."

It appears that the confetti strips are shredded police documents. Where they came from is still a mystery, but the people looking into the issue are trained at solving mysteries, and since they have a personal stake in the investigation, it may be more likely to be conclusive.