I had a similar experience. It has been well below freezing here too. I drove it home from St. Louis to Columbia (2 hours) and everything was fine. It had been out for a few nights in the sub freezing temps. We got home and parked in the garage. It stays between 8 to 10 deg (50F) in there. Wife went to start it the next day and had a rough idle and then smelled a strong smoke smell. Shut off car. I came home from work to find oil everywhere under the driver side and skid plates. Thought oil separator. Long story short, I replaced a power steering hose and all is good. It was that hose that exploded.

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'03 Black BMW E53 3.0i 110,000+ miles
'03 Black Mercedes-Benz W211 125,000+ miles
'13 White Mercedes-Benz W2o4 New