I rolled my bank IRA to my credit union IRA. My CU 5498 doesn't list the rollover and I didn't receive a form from the bank, just a statement. How do I deduct penalties?

You apparently did a trustee-to-trustee transfer of the IRA which is neither a distribution nor a rollover.  A trustee-to-trustee transfer of an IRA is not reportable, which explains why you did not receive a Form 1099-R showing a distribution from the bank and why your Form 5498 from the credit union shows no rollover.