NEW YORK, NY January 28, 2008 —A company that analyzes mortgages for Wall Street banks has agreed to cooperate with state prosecutors in an investigation of the banks' role in the sub prime mortgage crisis.

REPORTER: Clayton Holdings works with banks to review loans before they're turned into securities and sold to investors. Attorney General Andrew Cuomo says getting this company's testimony - in exchange for immunity from prosecution - was an important step in his investigation.

CUOMO: I believe the information that they have provided to us is going prove very helpful to this office in unraveling that the involvement of all of the parties in the sensitizations of the sub prime loans.

REPORTER: The AG has been looking into whether Wall Street banks hid crucial information from investors about the high-risk loans bundled into securities. About a quarter of all sub prime mortgages are in default, resulting in billions of dollars in losses for investors.

Banks have said that they provided adequate disclosures, while also taking more than $100 billion in write-downs in mortgage-related holdings.