My good bank (First Direct) gave me a physical OTP code generator, so I need a PIN and the physical device to get codes which are needed to log in. Once upon a time read-only activities like "Check balance" didn't need a code, but they got rid of that functionality because it's presumably a security risk with little benefit.
The same physical device constructs confirmation codes (proving I know the PIN) for specific inputs like if I want to send money somewhere I've never sent it before or a much great amount of money than usual.
However unlike U2F or its modern successor WebAuthn that's still in principle vulnerable to phishing, if thirstdirect.example pretends to be firstdirect.example and I don't notice, the codes I give to the wrong site work on the real one.
