Reuters is reporting that SEC Chairman Mary "Schapiro also said SEC lawyers are working on a plan to require investment advisers with custody of client assets to undergo an annual third-party audit, on an unannounced basis, to confirm the safekeeping of those assets"
Basically the idea is to crack down on operations like Madoff Securites, Westridge and countless others which would take a check from investors, claim it was buying securites, send them a false statement and doing whatever with the money.
You see the way things work today, you can give a RIA (Registered Investment Adviser) a check, and all he needs to send you is a quarterly statement with some numbers on it.
Of course, if that advisor has a third-party custodian (like Pershing..remember them?), the money and securities is out of the advisor's hands and you can get your info from that third party.
Eventually it would make sense to make every advisor use a third party custodian, but that's a transition that won't come quick or easy.