In addition to what BobThe Fisherman recommends, after reformatting the external drive to GUID/HFS+ to be used for Time Machine, keep your non-Time Machine files that used to be on that drive on that second external drive. It is best not to share a drive for both primary storage of files and for Time Machine (Big Sur does not allow it; Catalina and Mojave do allow it but this mixed use can cause problems as has been reported in these Discussions).
External drive 1: dedicated Time Machine backup drive, nothing else on it
External drive 2: use for storage of other files -- those files you said you "cannot afford to lose"
Since you "cannot afford to lose" those files, either configure Time Machine on external drive 1 to backup up both your internal drive as well as external drive 2, or get an external drive 3 to make a backup of external drive 2.
All these external drives (as well as internal drives) can and will eventually fail. The mechanical ones have moving parts and they physically wear out, and the solid state drives will eventually wear out from other wear and tear, mostly thermal cycling over many cycles, eventually the electronics fails. Well known and documented occurrences in military and space hardware applications, and your external drives are commercial grade, e.g. a lower grade than used by military or space programs. So at a minimum, keep at least one (preferably two) copies of all important data and files.