August 2008 European Car Article

Your headers have catalytic converters on them making them a lot more restrictive than our European ones, that's why they managed to get so much gains by changing the whole exhaust system. A popular upgrade is swapping your North American headers with the European headers (which are the same as on the M3 CSL by the way), you'd need to change your software though so that you dont get a Check Engine light. Another way to not get a CEL is to mod your stock US main catalytic converters and attach O2 sensors on the same place as the ones found on the European main catalytic converters.

European headers:
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North American headers:
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Main catalytic converters, the North American ones dont have the sockets for the O2 sensors (numbers number 9 and 10 on the diagram below)
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