It is another question that used to judge two values against one another, in this case loyalty against integrity.You should be careful, not to lose integrity, as well show your loyalty to the company.
Method to answer: Try to avoid choosing between two values, giving a positive statement which covers all bases instead.
Example answer: “I would never do anything to hurt the company..”
If aggressively pressed to choose between two competing values, always choose personal integrity. It is the most prized of all values.