My dad left cash in his New Mexico Credit Union account with the beneficiary as his trust with me as the death trustee. I set up a trust account in Texas and deposited the money there. I know I have to file a federal tax return for the trust, however I am wondering if I have to file a state tax refund since the money came from a New Mexico Credit union paid to the trustee, myself. There was no trust account in New Mexico, but the trust documentation originated in New Mexico.