you can use "application.match".

Dim m As Variant

DFxWSxLR = DFxWSx01.Cells(Rows.Count, 2).End(xlUp).Row + 1
For iDF = 2 To DFxWSx04.Cells(Rows.Count, 1).End(xlUp).Row
    For Each iBAI In DFxWSx03.Range("BAI")
        m = Application.Match(iBAI, DFxWSx04.Columns(3), False)
        If IsNumeric(m) Then
            If WorksheetFunction.CountIf(DFxWSx03.Range("Exception"), DFxWSx04.Cells(iDF, 6)) = 0 Then
                DFxWSx01.Cells(DFxWSxLR, 2) = DFxWSx04.Cells(m, 1)
                DFxWSx01.Cells(DFxWSxLR, 1) = DFxWSx04.Cells(m, 2)
                DFxWSx01.Cells(DFxWSxLR, 3) = DFxWSx04.Cells(m, 6)
                DFxWSx01.Cells(DFxWSxLR, 5) = DFxWSx04.Cells(m, 4)
            End If
        End If
    Next iBAI
Next iDF