Exactly. The cat, or catalytic converter, is part of the exhaust system. You'll need to replace it if you live in a state with emissions testing, or if you don't have the money, live with the smell.
<span style='color:gray'><span style='font-family:Courier'>1995 e36 3 Series RIP
1999 e46 3 Series BURN IN HELL
2000 MR-S Roadster= Current</span></span>