Go to the NM Regulation and Licensing Department website, Financial Institution Division (Collection Agencies are under this are for some reason). Once in the Financial Division, on the left hand side is a link to Licensee search.
Below is the exemption clause for out of state collectors.
Exemption for out-of-state collectors: Out-of-state agency is exempt if [1] collecting by interstate means (phone, fax, mail); and [2] debt was incurred outside the state of New Mexico.