Your 1099-DIV will have federal obligations in box 12 and those will be exempted from state tax. MO also exempts income from MO state and local obligations included in your brokerage income.
Most brokerages do have the information in their supplemental pages, without it, you have to determine what the funds were invested in. The annual report will give you the details.
Keep supporting documents with your tax file, in case anyone asks.
Reference: 4711 MO tax guide
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