Interviewing is about marketing yourself and you do want to give them impression that you are desired by other banks. On the other hand, you don’t want to lie. Always keep in mind that banking is a small industry where bankers know bankers at other banks. If you are interviewing with other investment banks say so. If they are prestigious or comparable to this firm, name them. If they are less prestigious, then just mention that you are interviewing with “a number of boutiques.” If they ask you to name them, then mention one or two. If you have no interviews lined up, state that you are “talking to a number of banks” and try to move the conversation along.