The interview was very straightforward. The 1st day was two 1-on-1 interviews: one was a relatively easy case interview and the other was data analysis (i.e. here's a list of bonds and their statistics, tell us what you infer from this and how would you go about structuring a portfolio from these and why?). I passed this and then had at least 5 more rounds, all single interviews, one-on-one with managing directors. They did this to accomodate my own work schedule which was very nice of them. Overall, I was very impressed with them. I liked that they were willing to overlook my slight lack of intimacy with credit markets and see my raw talent and interest in the field. All of the MD interviews were completely about fit, interest in what they do, behavioral questions, etc.