Does not need to be connected to anything. It is just a conducting wire. You can even bypass the sensor by putting a paperclip into the socket it plugs into.

There is a secret though - to reset the system after replacing the sensor (or bypassing it as mentioned), you need to turn the key to ON and let it sit there for about a minute until the red brake light goes out.

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2001 X5 3.0i, 203k miles, AT, owned since 2014