Australia's Ambassador to Washington Joe Hockey says he has not detected any concern in the US about vision that has emerged of Malcolm Turnbull mimicking Donald Trump.

Key points: Mid-Winter Ball is usually off the record, but parts of PM's speech referring to Donald Trump were aired by Channel Nine

Mid-Winter Ball is usually off the record, but parts of PM's speech referring to Donald Trump were aired by Channel Nine Malcolm Turnbull says speech was "affectionately light hearted"

Malcolm Turnbull says speech was "affectionately light hearted" Australian Washington Ambassador Joe Hockey says there has been no adverse reaction in US

Leaked vision of Mr Turnbull's speech at the annual Parliament House Press Gallery Mid-Winter Ball has made it to US network television.

It shows Mr Turnbull speaking in Mr Trump's style, and most controversially referring to having a "Russian guy".

The annual charity event is off the record, but a chunk of Mr Turnbull's speech is now public after being broadcast by Channel Nine.

The US Embassy in Australia released a statement soon after the leaked footage was aired.

"We understand that last night's event is equivalent to our own White House Correspondents' Dinner. We take this with good humour that was intended," it said.

In Washington, Mr Hockey laughed it off.

"The administration hasn't rung us up and I haven't been hauled into the White House and sent back to Australia so far as I'm aware," he said.

"Although, I saw a series of black cars outside."

Mr Hockey said it would not damage the relationship between the two nations.

"We have the equivalent of the White House Correspondent's Dinner … where there's a bit of self-depreciation and roasting, but in Australia it's always been behind closed doors," he said.

"Unfortunately, for the first time in 20 years, it was reported on and the comments were taken completely out of context which is very disappointing, but I think you know there's been no reaction that I'm aware of."

Mr Turnbull denied Mr Trump was the butt of his jokes.

"Well I wouldn't say that, I think it was more good natured than that I think. But listen, it's fun, you've got to have a laugh, we've got to lighten up. It's stressful business, politics," Mr Turnbull told 3AW.

He said the incident might lead him to take a different approach in his speech at the charity event next year.

"I guess what that means is that next year at the Mid-Winter Ball I will read selected passages from budget paper number two," he said

He said it was a breach of protocol to leak part of the speech, which he said was "light-hearted, affectionately light-hearted and off the record".

Ethics have been breached, MPs say

Senior Labor MP Anthony Albanese blasted those responsible for filming the speech.

"I think it will dampen the potential for people to have a laugh at themselves, at everyone. And both Malcolm and Bill did that. There are ethics here and I think they have been breached by whoever taped Malcolm's speech. And I don't think it should have happened," he said.

"I don't want to see the spirit of larrikinism that is part of the definition of being an Aussie disappear.

"And one of the things that happens when people get together is that we have a joke at our own expense and sometimes at the expense of others. Malcolm did that, Bill [Shorten] did that.

"I hope that the Press Gallery Ball continues to exist and raise money."

Government frontbencher Christopher Pyne said political leaders would be reluctant to poke fun at themselves and others in the future.

"It has damaged politicians' belief in the Mid-Winter Ball being somewhere they can let their hair down, obviously that's not the case and that's a pity but that's just the reality of politics these days," Mr Pyne said.