Not receiving key code generated by Spanish bank

I seem to receive codes from everywhere except my Spanish bank.  This is causing a major headache for me as without these codes I cannot process payments, add beneficiaries etc…. We've spent hours sitting in the bank with them trying various things to get this changed.  Can you tell me what either they or I need to do to enable this.  Where they have entered my number they have selected United States from their pull down list of countries and then put in the correct number.  

It does however show up as xx xxxx xxx.  A Spanish number shows as xxx xx xx xx  (this is without the country codes included.  so they both show up as having  9 digits but we don't receive these codes from the bank.  We did receive this message via sms/text.  How can we get this fixed please?