I believe its telephone interview, then invited to a day at the office, where you have a series of face-to-face interviews.
The interviews really vary a lot depending on the interviewer and you CV.
They will ask you about Bloomberg, what you know about it, what it does, who its competitors are, why its ahead of its competitors and how it can stay ahead etc. Also they'll ask you what you know about the financial products, what you think you'll be doing in the training over the first few yrs.
Something they are very big on is proving you want to work at Bloomberg, and you aren't just applying because you haven't got the job in banking you want.
My friend got asked, if UBS across the street offer you a job along with us, tell me why you'll turn UBS down and come here.
In all honesty its a difficult scheme to get onto if you have no interest in actually doing it and its a back up, because they'll really go at you as to why Bloomberg over a bank, from many different angles.
The thing they dont want is people going to Bloomberg for a year, receiving the training on the products and developing a good knowledge on financial markets then ****ing off to a bank (even though going from Bloomberg to a BB is not an easy task).