See explanation below.
Explanation
1. After signing into the Microsoft 365 admin center, navigate to Compliance Management in the Exchange Admin center.
2. Click on "Data Loss Prevention" option.
3. To add a new custom DLP policy, Click on (+) plus button to get the context menu
4. Click on "New Custom DLP policy" option, a new window appears where you have to enter policy name, description, state and mode of the requirement details. Click on save button to create policy and continue...
5. You will be back to the "Data Loss Prevention" screen with newly added policy information.
6. Double click on the added row to open the policy details, click on rules option in left part of the screen as depicted
7. Click on (+) plus button to add a new rule. Select the "Block messages with sensitive information" rule.
8. On the following screen, we can add condition, action, exceptions, rule activation and deactivation dates

9. Click on "Select Sensitive information Types" to specify the sensitive information details.

10. Click on (+) plus button and add the following Sensitive information Types:
U.K. National Insurance Number (NINO
U.S. / U.K. Passport Number
SWIFT Code
11. Click on Ok
12. Add an exception for recipients in the adatum.com domain
13. Add recipients for incident reports and click ok
14. Click save
15. Click save
Reference:
https://events.collab365.community/configure-data-loss-prevention-policies-in-exchange-online-in-office-365/