It might. Every state has its own rules regarding the taxation of trusts. Some look at whether the trust was established under a last will in that state (called a
'testamentary trust'). Other states look at the location of the trustee, the beneficiaries, the location of the trust’s assets and/or the principal place of administration. Like an individual, a trust can have income
sourced to a particular state even if the trust is a taxpayer of a different state. For instance, rental income from real estate will be sourced to the state where the property is located.