After submitting an application on their website, you will be contacted first by someone from HR. They will ask general questions about why you are interested in the position and try to determine if you are qualified for the position. If you pass, you will get a second phone call from a team member of the group you are applying to. This person will ask you why you are seeking a non-legal job and what your plans are for the future, etc. If they like you, you will then be invited to come in for an in-person interview with more members of the team, including the team manager. The interviews are pretty intense. You will be interviewed by two people at each stage of the interview in a glass room surrounded by employees at their work desks (Bloomberg's open workplace concept). This isn't your typical legal job interview because most likely, they won't care about your prior legal experience (if you have any). They will ask questions like why you went to law school, why you are interested in the position, have you applied to any of their competitors, why or why not, what three adjectives would you use to describe yourself, etc. Expect the interviews to last all day, mine took approx. 3 hours (I went through 3 rounds with 6 people).
The company is impressive but I wasn't so impressed by my interviewers. Some of them had no legal experience and Bloomberg was their first and only job out of law school. I would be okay with that except I felt at times that they were very snooty. There were stages of the interviews where it felt very awkward, where it seemed as though they weren't trying to get to know me as a person but wanted to know if I could be robotic in performing my job (the job, as it was described, is repetitive, i.e. boring). Anyway, I didn't receive an offer but I'm okay with that.