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I'm replacing a light fixture, but upon removing the old light I discovered the wires are not in a box. Can I just anchor the mounting plate to the drywall or is a box mandatory?

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There are instance where this is possible and legal, such as bathroom vanity bar type lights with an integral and complete back plate. Other than that a box is absolutely mandatory.

Here is a good example. Imagine these fixtures flush against the wall. enter image description here

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    +1 Also recessed can lights routinely have an integral box. – bib Jan 23 '16 at 15:48
  • @bib, absolutely right. No "additional" box is required in that case. – Speedy Petey Jan 23 '16 at 15:50
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The simple answer is: yes, a box is required. Any electrical splices and connections must be enclosed appropriately and grounded if metal.

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