It was working in March and before. Not working recently. Checked with bank no issue from their side. Put SIM card to another phone still not receiving any code.
Latest update: Just retried, issue got resolved and both bank SMS and Mastercard OTP received. It was not working this morning during troubleshooting so I expect IT team did something to fix that. Anyway thanks the support team.
Thanks for the advice. I contract the IT support and the guy was super nice, but couldn't figure out the issue immediately, so he created a ticket and let IT team follow up, will see.