In January, a bank buys a basket of mortgages with a view to securitize them...

This is an example of pipeline and warehousing risk. Generally there is a lag between acquiring assets and securitizing them due to the legal work to be done, the work to be done by the ratings agencies and in finding investors. During this period, the bank is exposed to the underlying assets purchased, and this is the 'pipeline and warehousing' risk as these assets are in the pipeline and warehoused for intended subsequent sale. Generally this period tends to be short. However, during the credit crisis this became a significant source of risk as many banks were left exposed to risk they had intended to get rid of, but could not do so as the market dried up. The other choices are all incorrect.

Note that pipeline and warehousing risk is also known as 'securitzation risk'. It means that funding from securitization cannot be relied upon as a matter of fact.