Question about disclosing other interviews - IBD and PE

I am a 2nd year analyst at a MM bank. I'm in the late stages of recruiting at a MM PE firm and a BB for a lateral analyst position. If I get the PE job, I would take that, but if not I want to lateral (my bank has terrible PE placement. This is the only interview I've gotten).

That said, should I disclose to the BB that I am in the late stages of the process at a PE firm? Or will that just kill my chances?

Any advice?

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