It is inside the transmission, attached to the valve body. You may not require a transmission overhaul, but you do require someone who is familiar with the transmission and can further diagnose the problem. There are numerous posts here about ZF tranmission overhauls; you can see the solenoids in the photos in those posts.

Edit: http://www.xoutpost.com/bmw-sav-foru...long-post.html

See this thread, look at post #20, last photo. It could be a solenoid, a wiring harness problem, or a mechanical/hydraulic issue in the circuit that contains that solenoid.

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