An investigation has been started after confidential police records - including documents about Mitt Romney's motorcade - were used as confetti at the Thanksgiving Day parade in New York City.

The shredded documents rained down on thousands of parade-goers who lined the streets to watch the parade near Central Park on New York's Upper West Side on Thursday.

Closer inspection showed the shredded strips of paper were readable and contained details about serving police officers, including their names, social security numbers and bank details as well as references to crimes in the area.

The documents appear to have come from the Nassau County Police Department, which polices parts of Long Island, just outside New York City.