I don't believe that you can exchange a licence. To get a Bermuda drivers licence in 2021, these were the steps that I had to take:
Go to the Transport Control Department (TCD) office in the City of Hamilton to pick up an Licence Application (also available online) and buy the Traffic Code Handbook (about $2). Study the Handbook.
Make an appointment with your local doctor and have your doctor complete the medical section of the drivers licence application.
Call TCD to schedule an appointment for the written exam.On the day of your written exam at TCD, bring your passport, your resident or work visa documentation, completed medical form and application, and the exam fee (roughly $30).
If you pass the written exam, then you will receive a learners licence.Schedule a few driving lessons with a local driving school. They charge an hourly rate. Your instructor will prepare you for the driving exam and schedule the driving test on your behalf. You will also use their vehicle to complete the driving test.
On the day of your driving test, bring your learners licence and the exam fee. If you pass the driving test, then you will receive your Bermuda drivers licence.