What other firms are you interviewing with?

You should be completely honest by saying it’s the only firm. Use it to your advantage by saying that for that reason, you would take the offer immediately. Shows maximum interest in the firm.

I also think that you will feel like a fraud if you lie and you will become nervous in the rest of the interview. They might be able to see through that.

This late in the recruiting cycle it'd be unusual to be in more than 1 or 2 interview processes. Just say "at the moment Firm XX is my only active interview process" it's not a big deal.

First comment here. How’d I get hit with monkey shit if the 2 comments below me reiterated the same theme - not lying?

Honestly, I was in a similar position to you. Had a superday a couple of weeks ago where I got asked this. This is what I said:

"There are some other firms that I am recruiting with, but given a choice, your firm is my top preference, and I would accept an offer if I received one."

Don't name firms but show that other firms are interviewing you too. They cant verify that and wont ask for further names, if they do then just say you aren't comfortable sharing. 

Whenever I was asked this question, I used it as an opportunity to discuss my filtering process of banks that I would apply to. This included highlighting aspects of their bank and emphasizing how I was selective based on fit. I personally never named the other banks.

Thanks for the advice guys! The question didn't come up in the end. Offer secured!