Assistant Treasurer Arthur Sinodinos has told Parliament he "will be vindicated" in relation to his involvement with a company linked to disgraced NSW Labor figure Eddie Obeid which is now the focus of a corruption inquiry.

Senator Sinodinos is one of several people connected to Australian Water Holdings (AWH), under investigation by the Independent Commission Against Corruption (ICAC).

On Monday the ICAC hearing in Sydney heard claims that Senator Sinodinos, a former AWH board member, stood to make $20 million from an infrastructure deal awarded to the company by the state-owned Sydney Water Corporation in January 2012.

In Question Time today the Opposition sought to pressure the Government over the Senator's involvement.

"I'll be attending as a witness and - watch this space," Senator Sinodinos told the chamber.

"And I will be vindicated in terms of what I have said to the Senate."

In February last year, Senator Sinodinos told Parliament he had "foregone all and any entitlement to this shareholding" in AWH and had had "very limited" dealings with members of the Obeid family.

Prime Minister Tony Abbott told Parliament he retains full confidence in the Coalition frontbencher.

"The matters in question happened prior to his entering parliament and becoming a minister," he said.

"The Senator has been been asked to assist an inquiry into a particular company. He is doing so fully and frankly as you'd expect."

Earlier, Opposition Leader Bill Shorten had said the Prime Minister must address "very serious allegations" facing the Assistant Treasurer.

Operation Credo has begun looking at allegations that various people made corrupt financial gains by "adversely affecting the official functions" of Sydney Water between 2004 and 2012.

AWH was awarded a $100 million infrastructure deal by Sydney Water in January 2012.

Senator Sinodinos, who was treasurer of the NSW Liberal Party at the time, was also a shareholder and chairman of AWH until he resigned in 2011.

In a statement to the ABC, a spokesperson for Senator Sinodinos said he would attend the ICAC as a witness and "is looking forward to assisting the inquiry".

NSW Liberal Party refunds $75,000 donation from AWH

The NSW division of the Liberal Party has also refunded a "tainted" donation of more than $75,000 made by AWH.

That decision was made after ICAC heard that the funds were claimed by Nick di Girolamo, the former head of AWH and a Liberal party supporter, from Sydney Water as work-related expenses.

NSW Liberal Party acting director Simon McInnes says the division will return $75,636 to Sydney Water as it is "the right thing to do".

A Liberal Party spokeswoman has also confirmed its conservative North Sydney Forum accepted an $11,000 membership fee from AWH in 2012.

She says when the forum learned of the Obeid's family involvement, the money was refunded.

Opposition Leader Bill Shorten has stopped short of calling for the Senator to stand aside.

"Given the serious nature of these matters, Mr Shorten is confident the Prime Minister will address this issue today," a statement out of the Opposition Leader's office read.

"These are very serious allegations - for the Assistant Treasurer and for the Liberal Party.

"This is an assistant treasurer who is prosecuting reforms that will remove accountabilities in the financial services sector, including the most basic requirement for advisers to act in the "best interests" of their clients.

"The fact that the Liberal Party has already been shamed into returning the $75,000 it received in donations shows something seriously stinks here."

Senator Sinodinos has been pushing ahead with changes to regulations for financial advisers and banks, which were brought in under the previous Labor government.

Coalition colleagues come forward to support Sinodinos

Senator Sinodinos, who was also chief of staff to former prime minister John Howard, has been regarded as a likely contender for a Cabinet position in the Abbott Government.

His Coalition colleagues are stepping up to support him.

Sorry, this video has expired Mathias Cormann speaks to RN Breakfast

The Parliamentary Secretary to the Prime Minister, Josh Frydenberg, said the Senator was "a very valuable colleague" and should "absolutely not" stand down.

"Arthur Sinodinos is a terrific person of the highest integrity," he said.

"These issues will be resolved through the normal channels."

Finance Minister Mathias Cormann said there was no need for Senator Sinodinos to step down while the matter is being investigated.

"I'm not going to give a running commentary on the inquiry that is currently taking place," he told Radio National Breakfast.

"Obviously these are matters that are currently being assessed and Senator Sinodinos is fully cooperating with the inquiry."

Wong accuses Government of 'continuing cover-up'

But Labor backbencher Kelvin Thomson said the Senator should step aside while ICAC is hearing the case.

"I think that it'd be in the best interests of the integrity of the system if Senator Sinodinos were to step aside," he said.

And Opposition Leader in the Senate Penny Wong has accused the Government of a "continuing cover-up," calling on Senator Sinodinos to give a "full account of his involvement".

"All of this corruption is swirling inside AWH while the Assistant Treasurer was a director of the company," she said.

"The carefully worded statement to this Senate on the 28th of February [2013] by this Minister is inadequate at best and deliberately obfuscatory at worst."

The ICAC hearings on Operation Credo are expected to run for three weeks.