Solution:  AVG configuration needs to be changed as follows: 

- Open AVG User Interface.

- Choose the "Firewall settings" option from the "Tools" menu

- Select "Profiles" item -> your firewall profile -> Defined networks.

- Click on the "Add network" button.

- Type a brief network name (e.g. Local network or HandyBackup).

- Tick in the "Network is safe" option.

- Click on the "Add IP" button.

- Fill in the needed values defining the computer you need to connect to. After conferring with FilesAnywhere support, for the sFTP site of Handybackup I used and IP range of 64.156.56.0 to 65.156.56.250

- Confirm with the "OK" button.

Note: Detailed information about Safe networks can be found in the FAQ section on our website: http://www.avg.com/faq/?num=1218 

- From available Profiles in left navigation tree double-click the one you are using.

- Click on the "Defined services".

- Click the "Add service" button in right part of the dialog.

- Specify a name for this new service (e.g. sFTP – ).

- In service items list add TCP Inbound, local ports 0-65535 and outgoing port to 22.

- repeat for TCP Outbound, local ports 0-65535 and outgoing port to 22

- From available Profiles in left navigation tree double-click the one you are using.

- Click on the "System services".

- Click the "Add" button in right part of the dialog.

- Specify a name for this new rule (e.g. sFTP – I used HandbyBackup ).

- In the "System rule details" part please select from the drop-down menu "Allow for Safe" option.

- Press the "Add" button in the "System rule action" part. (New rule "1" will be created.)

- From "Defined services" please put a tick in front of "sFTP" – this is the new service you just created

(scrolling down may be needed).

- Confirm the changes by clicking the "OK" button.