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. ||||| Macy's Thanksgiving Day Parade is awash in animal-related protests over its floats, with controversies involving the unlikely pairing of rocker Joan Jett and Shamu the killer whale. 
 
 FILE - In this April 20, 2013 file photo, singer and songwriter Joan Jett is seen in Baltimore. The organizers of the 2013 Macy's Thanksgiving Day Parade have removed Jett from the South Dakota float... (Associated Press) 
 
 FILE - In this July 2, 1999 file photo, killer whale Kalina, right, and her 10-day-old son Baby Shamu swim at SeaWorld in Orlando, Fla. Floats in the Macy's Thanksgiving parade, which carry celebrities,... (Associated Press) 
 
 Activists plan to line the route of next week's parade to protest a SeaWorld float over accusations in a new documentary that the theme parks treat whales badly. And ranchers succeeded in getting Jett pulled off the South Dakota tourism float after they questioned why the vegetarian and animal-rights ally was representing their beef-loving state. 
 
 The float flaps threaten to shake Macy's traditional position of staying out of politics and soaring silently above the fray, like the massive balloons of Snoopy, Kermit the Frog and SpongeBob SquarePants. 
 
 "The parade has never taken on, promoted or otherwise engaged in social commentary, political debate or other forms of advocacy," Cincinnati-based Macy's Inc. said in a statement this week. 
 
 It was in that spirit that parade executive producer Amy Kule told The Associated Press on Tuesday that the SeaWorld float is staying. "There is no controversy," she said. "Our goal is to entertain and that is their goal as well." 
 
 The SeaWorld float, which depicts rolling waves, tropical fish, penguins and Shamu, comes months after the release of the documentary "Blackfish," which contends that SeaWorld's poor treatment of its killer whales contributed to the aggression of a whale involved in a trainer's death. 
 
 SeaWorld says the accusations have "absolutely no basis" and that "the men and women who care for these animals at SeaWorld are dedicated in every respect to their health and well-being." 
 
 Activists, including members of the People for the Ethical Treatment of Animals, say they plan to stage a protest somewhere along the route during next week's parade. And the group says it has sent Macy's more than 80,000 emails from animal lovers demanding that the store drop the float. 
 
 Among those joining in was actor Alec Baldwin and his wife, Hilaria, who wrote last week that SeaWorld was a "cruel prison for whales" and that the parks "should not be celebrated with a giant Shamu float parading down 34th Street." 
 
 Kenneth Sherrill, professor emeritus of political science at Manhattan's Hunter College and a longtime parade watcher, says the SeaWorld controversy puts Macy's in a tough spot. 
 
 "It's damned if they do, damned if they don't," Sherrill said. "Macy's is making a statement. If there's a political conflict, saying `I'm not getting involved' means you're supporting the status quo." 
 
 PETA also is connected to the float controversy involving Jett, an animal-rights vegetarian who works with the organization. 
 
 She was scheduled to sing atop South Dakota's tourism float until an outcry from the South Dakota Cattlemen's Association, which said it made no sense to feature an artist who is critical of the state's top economic sector. 
 
 Macy's found a solution: The "I Love Rock `n' Roll" singer and her Blackhearts band are being moved to a different float as yet to be announced. A parade spokesman said it made the move so attention isn't diverted from the "entertainment mission" of the event, which also features Carrie Underwood, Jimmy Fallon, the Radio City Rockettes and the cast members of the reality show "Duck Dynasty." 
 
 The parade has gone on through previous controversies. 
 
 In 2011, Tim Burton's "B. Boy" balloon took flight despite critics labeling it "creepy" for its depiction of a snaggle-toothed boy made out of old party balloons. 
 
 And last year, Elmo's appearance followed sexual abuse charges against longtime puppeteer Kevin Clash, whose recorded voice was heard on a float. That parade also included confetti made from shredded New York City police documents.
– Oops: Observers at the Macy's Thanksgiving Day Parade were surprised to discover that the confetti landing on their coats contained confidential information including social security numbers and banking info. One paradegoer tells WPIX his friend first noticed a Social Security number on one piece of confetti, then found more with "phone numbers, addresses, more social security numbers, license plate numbers," and police incident reports including arrest records and information about Mitt Romney's motorcade. Turns out the confetti was made up of Nassau County Police Department documents that "were shredded, but clearly not well enough," WPIX notes. Some of the documents even identify undercover police officers by name, and give out information including dates of birth, social security numbers, and more. The police department says in a statement that it is "very concerned" and will be investigating the matter, and Macy's says it uses "commercially manufactured, multicolor confetti, not shredded paper" in the parade. (Click for more on how shredded documents can be reassembled.)