The Securities and Exchange Commission (abbreviated to SEC) is an agency of the federal U.S. government in charge of monitoring monetary transactions and practices of companies located in, or that do business within the United States. They have police boats.
They arrested George Bluth for defrauding investors by using the company as his 'personal piggybank' ("Pilot"). They also attempt to arrest Lucille for similar reasons, however, she is only found guilty of stealing the Queen Mary ("Development Arrested"). Lucille adopts Annyong Bluth in an attempt to look sympathetic to the SEC ("Shock and Aww").