You are celebrating Thanksgiving at the Macy's Parade and the confetti that falls on your shoulder has phone numbers and social security numbers. Information about the President's motorcade. Where did it come from?

According to Pix 11, the documents are from the Nassau County Police Department. Confidential papers shredded into confetti and used at the parade.

That story happened to Ethan Finkelstein.  "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.'

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."

Can you imagine being at the Christmas City Of The North Parade and you catch a piece of confetti and it has your phone number or more on it.