If a card that is attached in one zone is exchanged with a card in another zone, what happens to the cards in relation to their attachments?

When a card that is attached in one zone is exchanged with a card from another zone, the mechanics of attachment dictate that the attached card ceases to be attached to its original object. This is due to how attachments work in Magic: The Gathering; an attachment requires a specific object to be in play for it to remain attached.

In the case described, when the card that was previously attached is exchanged for another from a different zone, the original attachment is invalidated simply because the attachment relationships can no longer exist when one of the involved cards is removed from the battlefield or otherwise changed zones. The card that was previously attached stops being attached because it is no longer in play with that connection.

Upon this exchange, the second card does become attached to the object that the first card was attached to, thus establishing a new connection that would follow the game rules regarding attachments. Therefore, the correct answer outlines the outcomes of these actions in accordance with the rules governing attachments in Magic: The Gathering.