Here is how I would prepare :
Go through the basic products and their pricing (MBS, CDO, Tranches, Swaptions, Caps, Floors, Etc...). Understand how each of these products are affected by market inputs.
Understand the risks associated with each of the products.
During your interview you will need to show more than technical knowledge. I suggest you go on Bloomberg & other news sources to get familiar with the current market dynamics.
You should be able to talk about any asset class even though your interview is specifically on credit. You need to be able to display good understanding of intermarket correlations and dynamics.
Expect to be asked things such as yield on treasuries of various maturities, current Forex rates (main pairs).
Be confident (not over confident)! There is no shame in not knowing a specific answer. Better to tell them you are not sure of a specific answer than answering something totally wrong with confidence... Just make sure you don't use that trick for every question...
Good luck!
