When exchanging money from one order to another, you need a way to track where the money came from. A credit memo takes the original payment and applies it to a new order. This allows you to track the history of an exchanged order in the orders and reporting.
A credit memo will be automatically generated during the process of an exchange. To see the orders that the credit memo was a part of, go to either order and look under the payments section. You will see the credit memo labeled. If you click on it, there will be a history for the credit memo.
Tip: "Exchange" is the credit memo tied to the original purchase. "Purchase" is where it went.