If you choose to treat the inherited IRA as your own, the bank should have done a nonreportable trustee-to-trustee transfer or a nonreportable retitling of the account. However, sometimes a bank will inappropriately, but legally, do a reportable distribution and rollover to move the funds.
If done by nonreportable transfer or retitling, there is nothing to report on your tax return regarding the transfer. If done by distribution and rollover, you will have received a Form 1099-R that you must report on your tax return even though the distribution and rollover is treated as nontaxable income.