We had nothing
We crossed the border from Mexico to US and asked about Insurance.
This was late 2005. They didnt check any of our luggage, and told us to be careful, get insurance if you get stopped. That was about it. We had more trouble leaving the Mexico side of the border because our Spanish was poor and they would not speak English to us.
If its a bother to you by all means search it out. But we were allowed on our way even after asking where to get it.
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