The initial communications with BNP was the recruiter calling me up and scheduling an interview. Once I found out I had an interview I talked to someone I knew in the company. He suggested I just be as upbeat as possible with a "can-do" attitude (But not to the point of annoying.) I researched and checked around to see what the general overview of the job was and how my skills may apply before going in.
At the interview itself, I was taken to a completely glass conference room on the trading floor where everyone could see you. Unfortunately, being a first interview, this was intimidating and overwhelming. I suggest you keep your cool.
The interviewers provided an overview of the job position and what I'd be doing and if I was ok with the career progression that they outlined. (I thought this was a major plus.) They also asked about my own work experience and situations at previous jobs. IE: Worst thing? Best thing? Etc.
My advice to anyone interviewing there is to be upbeat and to think of the positives from each job experience. Think of the skills you can bring from previous jobs to the job you're applying to. Also, be upbeat about previous jobs, even if it wasn't that great or there was a bad experience. Never make any off-hand remarks or downgrading previous jobs. IE: "It wasn't the greatest position relative to other positions but..." Don't be modest about specific things the interviewer remarks and praises you on. Accept the praise, turn it as a benefit for the company.