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Format rescue medium with exFAT or NTFS?

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I jut created a rescue medium with the recommended Win 10 RE on a 64GB USB flash drive. I then proceeded to copy a folder with disk images to the USB drive. So far, I only have two image files, one with a full backup and another one with an incremental backup. The incremental backup (~4.2GB) was copied to the flash drive without problem, but with the full backup (17.7GB) I got an "Cannot write {file}. Please remove write protection" error.

It then occurred to me, that the FAT formatting is the culprit (I had the drive formatted through the Acronis rescue media tool), as it cannot handle files >4GB. But now I'm wondering, if an exFAT or NTFS formatted flash drive will work properly with Win RE?

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The answer is no, recovery media must be formatted as FAT32 format.  As such there are limitations to FAT32 such as the 4GB file size limit and additionally, a 32GB maximum addressable (partition) limit.

What you are trying to achieve is to have a single media which can be booted that holds backup files as well.  This is achievable.  You basically need to create a small 2GB partition and format that partition as FAT32 to hold the recovery media.  The rest of the space on the media can then be formatted as NTFS and backup files can be located there.

A popular way to achieve this is to create the boot media on USB flash or CD/DVD media.  Partition the single media for this purpose as outlined above then, backup the boot media you created and restore the backup image to the 2GB partition you made on the single media you are making.  Once that is done you can then place backup image files on the second partition on this single media.  Once booted you will see this second partition and the backup files it holds.