Labor shadow minister for infrastructure Anthony Albanese has attempted to defend Opposition Leader Bill Shorten's refusal to dump embattled senator Sam Dastyari by deflecting the issue onto the government.

Nine news reporter Deb Knight pushed Albanese on the TODAY Show, asking him why why Shorten keeps giving Dastyari so many chances.

“I don't give my eight -year-old son as many chances as Bill Shorten has given Sam Dastyari," Knight said.

Albanese deflected the question onto Christopher Pyne, appearing on the TODAY Show with him, and the government.

"The fact is the allegation against Sam Dastyari is that he told someone they were a security issue," he said.

Referencing the recent debacle in which a staffer for Liberal Senator Michaelia Cash alerted media to raids on AWU offices, Albanese said: "The government's still taking funding from this donor. As much as they've donated to the Labor party, it is the government that has been exposing national security issues just like over the Michaelia Cash issue, it was the government that alerted the media."

Pyne was quick to interject: "Not for personal expenses.

"What's unacceptable is telling Chinese people who could potentially be people of interest not to use their phones because they could be being listened to by security issues," he said.

The heated exchange between the two politician comes after new evidence emerged on Thursday of Dastyari's close links to China, with audio of a press conference capturing Dastyari disavowing his own party's foreign policy and echoing Beijing's line that the South China Sea is its territory.

Dastyari told the Senate yesterday: "A recent audio recording shocked me, as it did not match my recollection of events.

"When a public official makes a statement that contradicts events, there are consequences."

It came on the same day where Prime Minister Malcolm Turnbull all but accused Senator Dastyari of treason in responding to Fairfax Media reports that the senator warned a billionaire Chinese donor that his phone was likely being tapped by intelligence agencies.

Turnbull urged Shorten to dump him from the Labor Party however Shorten has only asked him to resign from his parliamentary duties, which Dastyrai complied with.

‘Banking backflip’

Earlier in the heated segment, Albanese tackled Pyne over the prime minister's backflip on a royal commission into the financial sector.

"The government has been leading from behind," he lambasted his political opponent.

"It's been arguing there's no need for this and this week we have seen an utter humiliation of the prime minister who has no authority within his own political party, yet alone in the parliament. This is an extraordinary humiliation."

The prime minister's announcement came after the CEOs of the four major banks wrote to Treasurer Scott Morrison, asking the government to set up a "properly constituted inquiry" into the financial services sector.

The email to the treasurer, in which the bank chiefs say an inquiry would help restore public trust and confidence, is a reversal of their previous aversion to an inquiry.

The inquiry, to be run by a former or serving judicial officer for 12 months, will report back to the federal government by February 2019.

Pyne did defend the backflip, stating: "A week is a long time in politics.

"The banks asked us yesterday, or the night before, to put an end the banks, the insurance companies and the superannuation funds being used as political footballs in the Senate," he continued.

However he denied that this is evidence of the government doing the bank's bidding.

"No, the Labor party were trying to undermine our financial system, which means undermining our economy, the banks had become a political football in the Senate," he said.

"Clearly we had reached a stage where the government had to take charge of the situation. When the banks said themselves things had reached a situation beyond tolerable, the government decided we were going to act and deal with it.

"We'll now have a royal commission into the entire financial services sector including industry super funds, general insurance and banks and that will hopefully produce recommendations the government can adopt."

Albanese said Labor would back the inquiry.

"We were calling for it. The terms aren't what we'd like but we'll support the inquiry," he said.

" We think it should have been much wider and we think it should be much more centralise don the victims. We're concerned the victims groups weren't consulted on the terms of reference and that says it all.