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I was thinking of using an 128GB SD card (in the SD card slot) as a shared drive between my windows 8.1 bootcamp installation, and OSX on my macbook pro.

Which filesystem should I use to format the drive ? Are there any problems with this approach ? I would need to read and write files to the drive from both OS.

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Formatting as exFAT (do so from OSX with DiskUtility) is easiest to do and is natively supported by macOS and Windows as of Windows 7.
(I specifically recommend the format through OSX as Windows can have a mind of its own about the filesystem to use. Chances are that Windows will format as FAT32 in stead of exFAT.)

FAT32 is also possible but you will be limited to a maximum file-size (for a single file) of 4GB.

NTFS is also an option, but the Mac can't WRITE to that, at least not without resorting to some trickery/requiring extra software.

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    Nah, Windows will refuse to use FAT32 for anything larger than 32 GB. Also, you can select the filesystem to use when formatting. – Daniel B Feb 16 '17 at 12:54
  • @DanielB For a disk that is around 32 GB it can be hit and miss and for < 32GB Windows doesn't offer exFAT as an option, forcing you in FAT32. Also, some USB sticks/drives come with "helper software" (e.g. for encrypting the content). This software (if installed and it is usually Windows only) can also sometimes block the exFAT option from working in Windows. – Tonny Feb 16 '17 at 13:47

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