That's right. The source of investment income is where the recipient lives.
Note that if you move during the year, the source of investment income is where you live at the time that the interest or dividends are paid. So portions of the interest or dividends from one account could be sourced to different locations. The bank or brokerage just reports the total amount for the year. If you are, for example, filing part-year resident tax returns in different states, you have to allocate the income based on how much you received when you lived in each state.
