Initial screening phone call to discuss the position and why I was interested in it. Talked about my experiences, both education and work, and then about the position and the company. You should know about the company and some relevant tidbits of information relating to it, especially if you can tie it to your resume. Then was invited to NYC for a super day, where I met with 4 people from different teams (commodities, distressed debt, mortgages, high-grade). These interviews were a mix of technical and personal, while trying to see how you work under pressure. It was quite clear they were also looking for someone they wouldn't mind working with, as the offers would have been desk specific.