I refinanced an existing loan with a new lender and paid a large prepayment penalty to the previous lender.
The prepayment penalty was not included with any of the amounts on my 1098 from the previous lender.
On what line of my Schedule E should I deduct that prepayment penalty?
It depends. If you paid the entire penalty up front, you can deduct the entire amount as a 2020 rental expense. Otherwise spread the amount over the life of the loan.
If you deduct the entire amount, enter it has mortgage interest. You do not need a 1098 to enter mortgage interest from a rental.
If you are amortizing the prepayment penalty, enter the amount in Assets/ Depreciation as Intangibles, Other property.