Same issue here, bank accounts in Portugal. Until end of 2019, no problems in receiving OTP via SMS to my Thai number. Then suddenly, no longer working. Contacted bank over there, they say it's not an issue caused by them. The system gets the OTP request, sends it out, but does not reach my Thai number here. True, my provider, says it's not caused by them either. So, no solution on the SMS front.
Since I got the bank app installed both on my iPad and Android phone, was able to make transfers through the app, no need for OTP, just my PIN code. Then had to re-install the app on my Android, screwed again. In order to validate, needed to get a OTP send by SMS to my phone....back to square one.
Funny enough, I have another phone with Portuguese number that uses True as service provider, same as my Thai number. For another Portuguese bank account, no problems in receiving OTP's by SMS here in Thailand.
Makes no sense, gave up trying to fix this. As long as my iPad doesn't die, I can manage. Once I have a chance to go back to Europe, will get a token, to be on the save side....