The Charlie Brown balloon floats past Radio City Music Hall during the 86th Macy's Thanksgiving Day parade. (BRENDAN MCDERMID/Reuters)

Police are investigating how shredded documents containing confidential details about Mitt Romney's motorcade wound up as confetti in the Macy's Thanksgiving Day parade, Reuters reports

The papers included sensitive information about Nassau County Police Department employees, as well as information about Mitt Romney's motorcade to and from an Oct. 16 presidential debate at Hofstra University.