you can use "countif".
For iDF = 2 To DFxWSx04.Cells(Rows.Count, 1).End(xlUp).Row DFxWSxLR = DFxWSx01.Cells(Rows.Count, 2).End(xlUp).Row + 1
For Each iBAI In DFxWSx03.Range("BAI")
If DFxWSx04.Cells(iDF, 3).Value = iBAI.Value Then
If WorksheetFunction.CountIf(DFxWSx03.Range("Exception"), DFxWSx04.Cells(iDF, 6)) = 0 Then
DFxWSx01.Cells(DFxWSxLR, 2) = DFxWSx04.Cells(iDF, 1)
DFxWSx01.Cells(DFxWSxLR, 1) = DFxWSx04.Cells(iDF, 2)
DFxWSx01.Cells(DFxWSxLR, 3) = DFxWSx04.Cells(iDF, 6)
DFxWSx01.Cells(DFxWSxLR, 5) = DFxWSx04.Cells(iDF, 4)
End If
End If
Next iBAI
Next iDF