Archive mailbox for MS exchange

Hello everybody,

I'm unable to use the “Archive” button in Mail.app for MS Exchange mail account on MacBook Pro with Sierra.

I always get: The message “…” could not be moved to the mailbox “(null)”. The destination mailbox does not exist.

Archive works well for Google account and I can assign certain folder as Archive, but this option is not there for Exchange account.

Anybody can help, please?

Thanks!