Hello,
unless there exist an URL "bank_notify.php" in the JoomSEF URL Manager, then I cannot really imagine why JoomSEF should be processing such URL.
PayPal uses similar way of return of URLs and there it works fine. So unless there is some direct conflict, I would rather say, there might be something non-standard in the payment method processor.
(the .htaccess file includes a test, that should prevent Joomla SEO or JoomSEF to process URLs that matched a physically existing file)
RewriteCond %{REQUEST_FILENAME} !-f