Yes, it would include interest from a credit union - - it is allocated to your resident state, New Hampshire. Where the credit union is based does not matter.
New Hampshire does not tax individuals' earned income, so you are not required to file an individual New Hampshire tax return. The state only taxes interest and dividends at 5% on residents and fiduciaries whose gross interest and dividends income, from all sources, exceeds $2,400 annually ($4,800 for joint filers). @Cal259
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