PM has banks in witness protection: Labor

Bill Shorten has mocked the prime minister's rejection of a royal commission into the behaviour of the nation's major banks, saying all Australians want is to make sure they are not being ripped off.

The opposition leader told a meeting of his shadow ministry on Monday - ahead of the opening of the 45th parliament on Tuesday - Labor would continue to pursue a royal commission.

"The witness protection program, which this government's affording the big end of town, is breathtaking in its arrogance," Mr Shorten told his colleagues in Canberra.