Image caption A student found confetti strips like these contained sensitive police data

Some confetti at the annual Macy's Thanksgiving Day Parade on Thursday in New York appears to have been made out of confidential police documents, a US media report says.

The documents, shredded but legible, belonged to the Nassau County Police Department, New York station WPIX says.

They included sensitive data such as social security numbers and banking information for police employees.

They were shredded horizontally, not vertically, leaving text visible.

The confetti strips were found by a college student, who noticed one strip stuck on a friend's coat.

"It landed on [a friend's] shoulder," Ethan Finkelstein told the TV station "and it says 'SSN' and it's written like a social security number."

He and his friend looked at the other confetti more closely: "There are phone numbers, addresses, more social security numbers, licence plate numbers and then we find all these incident reports from police."

Some of the strips mentioned arrest records and had official police reports.

Some identified Nassau County detectives by name.

A representative for Nassau County Police told WPIX the department was "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."

Macy's has denied that it was the source of the confetti, saying its official confetti are punched-out pieces rather than shreds of coloured paper.