Either there, or right the way along the exhaust under the car. Its bolted up, what happens is the metal splits around the bolts, and the heatshield drops onto the exhaust, leaving the bolt in the car. May be able to bodge it, otherwise a new heatshield.
Also check rear exhaust mount, if this has collapsed makes a similar noise. If it has, new mount is dead cheap, or you can give the old one some strength with sections of hose pipe and zip ties (search 'exhaust rear mount') to see what i mean if it is this.