While being comfortable in an interview may have value in that it could relax you and thus you would think better and answer questions better, this has to be balanced against what is expected from you. Some places will not have expectations for your attire; however, others will. For those places with expectations, failing to meet them will start you at a disadvantage - and potentially set you up for an immediate rejection (even though they may go through the motions of completing the interview). Since the recruiter said you should dress formally, it seems safe to assume that the interviewers in this case do have certain expectations for your attire. This may be due to a need to interact with officers, regulators, customers, etc. who dress formally, or just organizational or industrial culture.
The rule of thumb for situations like this is that it's better to be overdressed than underdressed. Another way to think about it may be to consider these two possibilities: You dress formally (including tie), do well in the interview, get an offer, and then get to decide if you want to work there. Alternatively, you skip the tie, do well in the interview, but are told that they aren't interested in someone who doesn't dress properly.
You may want to refer to this guide on dressing for interviews. That said, everything I've heard and read in 30 years of interviewing has said that formal interview attire for a (western culture) male is suit AND tie (and dress socks and dress shoes).
Standards are changing, but they haven't changed that much yet, and the banking industry is fairly conservative in this regard. For my last couple years of college, I worked in a bank's computer center at night; usually I was the only person in the building. Even though it was a low wage job to which I wore blue jeans and tee shirts once I had started working there, I wore a tie to the interview. The males who worked there during the day wore ties.
Finally, to be really certain of the expectations, ask the recruiter what s/he meant by "formal dress code".
A note about comfort: While my current job doesn't require a suit and tie, I have had some jobs that do. If your dress shirt fits properly and you tie the tie correctly, it shouldn't be uncomfortable. If your dress shirt is tight around your neck and you have a couple days before the interview (to either get it dry cleaned or to launder it and press it yourself), you may want to buy a new one.