AVG VPN prevents me to connect to my bank, any suggestion?

Whenever I want to logon to my bank I’m unable when AVG VPN is active, it took me a while to realize it. After I entered my user/pw I was going back to login screen, no error message, nothing unusual. Then I thought maybe it’s my VPN I just started to use, I disabled and VOILA I have now access. Does VPN offers some process to create exceptions to VPN? Any suggestion beside deactivate VPN every time I visit my bank.

In the settings in the AVG dashboard you can select sites and apps that AVG will automatically allow access to