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Came here to post as above...it could be the trans oil. Experienced it first hand.
I noticed mayo on the rad cap on one of my weekly checks. Car ran fine. Oil in coolant, no coolant in oil.
Thought head gasket as well but I wanted to rule out everything else before tearing into the engine so I checked the trans cooler first. Removed it from the car and had it pressure tested at a radiator shop. It failed pressure testing.
Replaced this first and did ATF and coolant replacement. No more mayo luckily.
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04 X5 3.0i auto
03 X5 4.6is
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