Why do you think about these online applications for applying mortgage loans?

I’ll be going to a bank for a Mortgage loan application, the lender sent me an email that says I need the previous 2 year W-2 forms, the problem is I did my taxes online and I didn’t bother to save the W-2 forms… Do I really need these forms or can I just take my Tax doc files?
and If I really need the w-2 forms where can I get them from?

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