N.M. Stat. § 52-1-58

A. It is the duty of every employer of labor in this state subject to the provisions of the Workers' Compensation Act or the employer's workers' compensation insurance carrier to make a written report to the director of all accidental injuries or occupational diseases that occur to any of his employees during the course of their employment and that result in lost time of an employee of more than seven days. A copy of the report shall be sent by the employer to the worker. Such reports shall be made within ten days after such accidental injury or ten days after notification to the employer of employee disability, upon forms approved by the director and shall contain such information concerning the accident or injury as may be required by the director.

B. Upon request of the director, it is also the duty of every workers' compensation self-insurer and insurance carrier to file with the director closing reports upon the closing of a claim on forms approved by the director. Annual reports will be required on a form approved by the director.