Why were secrets raining from the sky during Macy's Thanksgiving Parade? Police still aren't sure.

Inspector Kenneth Lack said Monday the Nassau County Police Department is investigating how confidential records including names of police officers, license plates, and the route of presidential candidate Mitt Romney's motorcade ended up as confetti in Manhattan's annual celebration, The Chicago Tribune reports.

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

Eighteen-year-old Tufts University student Ethan Finkelstein, who originally reported the problem to a local television station, was also baffled when he found a Social Security number resting on a friend's coat as they stood along the parade route at 65^th Street and Central Park West.

"There were full lines of text. You didn't need to piece everything together. It was right there," Finkelstein told NPR's Margot Adler. "It fell face up and said SSN and there was a number and it was written like a Social Security number."

Macy's says their confetti is commercially manufactured and not shredded documents, but notes that spectators often throw their own homemade confetti at the annual event.

The local television station that broke the story Friday, WPIX, now reports that the confetti came from a police employee who came to the parade as a spectator. Margot reports that the police department, contacted today about the new information, said the investigation was ongoing and that there would be no immediate statements.

(Jordan Teicher is an intern for NPR.org.)

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Source: NPR