N.M. Stat. § 59A-4-3
Inquiries by superintendent.
The superintendent may direct an inquiry to any person subject to supervision under
the Insurance Code with respect to any transaction or matter within the scope of such
supervision. Upon receipt of the request, the person shall promptly furnish to the
superintendent requested information in possession or control of such person. If so
specified by the superintendent, the requested information shall be furnished under
oath.