Umbrella group the Regional Bond Dealers Association (RBDA) has contacted Andrew Cuomo's office, in a bid to persuade him to shift his focus onto large firms who underwrote the securities, rather than the brokers who sold them on.
The attorney-general is conducting the probe on behalf of customers who claim to have been miss-sold the investments as being "risk free", and who have subsequently lost money on them.
Banks including UBS and Citigroup have already settled with Mr Cuomo's office after having auction-rate security charges filed against them.
In the letter, RBDA alleges that fraud occurred among the underwriters - who deliberately withheld information pertaining to the amount of riskiness the securities held for clients.
Therefore, the brokers are said to have sold the potentially illiquid assets in good faith.
"It is clear in part from evidence that you all have published, that lead managersâ¦gave the market a false sense of liquidity when real investor demand was disappearing," the letter said.