Sensitive documents found in Macy's Thanksgiving Day Parade confetti By Chris Boyette, CNN November 26, 2012 -- Updated 1913 GMT (0313 HKT) Macy's Thanksgiving Day Parade Shredded paper with a Social Security number caught a parade-watcher's eye The shredded documents are from the Nassau County Police Department Macy's says it uses only "commercially manufactured multi-colored confetti" Some people bring their own, the company says New York (CNN) -- Authorities in Long Island are investigating how shredded confidential police documents ended up as confetti in the annual Macy's Thanksgiving Day parade in New York City, according to Nassau County Police. Saul Finkelstein, a Manhattan attorney, was watching the renowned parade with his 18-year-old son Ethan, as they do every year, when they noticed a piece of shredded paper that appeared to have a Social Security number on it. "There were shredded papers all over the place, like snowball size, all over the ground," Finkelstein said. There were whole sentences, license plate numbers and police reports. As they looked closer at the confetti, they came to realize the shredded pieces of paper were documents from the Nassau County Police Department. On Sunday, Nassau County Police detectives came to Finkelstein's home as part of an investigation into how the documents made their way from Long Island to Manhattan and ended up in the parade. 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," said Inspector Kenneth W. Lack. "The fact they sent two people on a Sunday night all the way from Nassau County means they must be trying to figure this out," Finkelstein said. Most shocking was that on the scraps of paper were pieces of sensitive information, including the names, dates of birth, Social Security numbers, banking data, and other personal information about Nassau county police officers and detectives, some of whom are believed to be undercover, according to CNN Affiliate WPIX, whom Finkelstein contacted along with the police after finding the pieces of sensitive material on Thursday. Also found were notes about Mitt Romney's motorcade from the final presidential debate, which took place at Hofstra University in Nassau County in October. Orlando Veras, a spokesman for Macy's, says the company has no knowledge of how the shredded documents came to be used as confetti. "Macy's uses commercially manufactured multi-colored confetti, not shredded, homemade or printed paper of any kind in the parade," he said, adding, "It is not unusual for spectators to bring and throw their own confetti in the direction of parade participants from the sidelines."