If, in CentOS 7 Core, when you try to install a customized SELinux policy like the ones generated with

# grep sshd /var/log/audit/audit.log | audit2allow -M test_new_policy
```

you get this error:

# semodule -i test_new_policy.pp 
libsemanage.semanage_exec_prog: Child process /sbin/load_policy did not exit cleanly. (No such file or directory).
libsemanage.semanage_reload_policy: load_policy returned error code -1. (No such file or directory).
libsemanage.semanage_exec_prog: Child process /sbin/load_policy did not exit cleanly. (No such file or directory).
libsemanage.semanage_reload_policy: load_policy returned error code -1. (No such file or directory).
semodule:  Failed!

I have fixed it with

# mkdir /etc/selinux/targeted/modules/tmp  ```

Thanks to Eugene Pakhomov for giving me the clue, recommending its execution through strace to see which file or directory was missing…