A model of a monopolistic (GSE-dominated) market for mortgages is constructed in which the GSE employs a proprietary credit evaluation technology to produce a precise estimate of mortgage loan credit quality. When the private value of the information underlying the screening technology is sufficiently high, the GSE introduces noise in order to block inferences of potential competitors. The GSE does this by: i) rationing lower credit quality consumers from the prime mortgage market, and ii) charging a locally uniform rate to qualified applicants. The GSE thus trades off monopoly rents for information rents, in which credit rationing and pool pricing rationally occur in a market where agents do not have a unilateral informational advantage. Comparative statics are derived that simultaneously account for the equilibrium mortgage loan rate and relative market size. Policy implications in the context of consumer welfare and the sub-prime mortgage market are analyzed and discussed. Optimal GSE capital structure, empirical tests of racial discrimination, and dynamic learning through sub-prime market lending are also considered as extensions to our basic model.