An exchange generally occurs when one company acquires another.  The shareholders of the acquired company are often given the option to sell their shares to the acquiring company or exchange their existing stock for stock of the acquiring company.

Example:  ABC Corporation recently acquired XYZ Corporation.  ABC gave its shares to the shareholders of XYZ in exchange for their XYZ shares.  A filer would report this transaction as an exchange.

Changing the investment options held in a brokerage or retirement account are not exchanges.  In these cases, you are selling one fund or stock and buying another.  Since exchanges are very rare, you may wish to consult your agency ethics official before designating a transaction as an exchange.