To receive your SMS Code whilst travelling overseas you will need to enable International Roaming with your mobile phone provider. If you intend to use an international phone number whilst travelling, to update your mobile number with Citibank, simply sign into your account at citibank.com.au
Click 'Services' menu and select 'My Profile'
Click 'Update Contact Details' menu and select 'Update Phone Numbers'
Select Add or Edit and follow the prompts.