Penalty? That’s okay! (4)
I believe the answer is:
fine
I believe this clue is a double definition.
'penalty?' is the first definition.
(fine is a kind of penalty)
'okay' is the second definition.
(both are ways of saying 'yes')
'that's' is the link.
(Other definitions for fine that I've seen before include "Sheer or excellent" , "First-rate - punishment" , "Money penalty is clear and dry" , "No special brandy" , "Very high quality money penalty" .)