The rule for inheritances is that if it was taxable income to the deceased, it is taxable income to you. The investment comes to you in the same way cash would have. It is not taxable. The interest should be reported on a 1099-INT. If you cashed out the CD before it matured, then you would have a early withdrawal penalty.
you should have gotten 1099s so it depends did each of you get a 1099 for your portion of the interest and did each of you also get a 1099-B for your portion of the proceeds. as a minimum there should have been a 1099-INT for the interest.
1) if each did then you each report the interest through the 1099-INT
if there was one 1099-INT with only one SSN then that person needs to report the full amount and use the nominee adjustment line for the portion that went to others. one other thing. Generally, if you receive a Form 1099 for amounts that actually belong to another person, you are considered a nominee recipient. You must file a Form 1099 with the IRS (the same type of Form 1099 you received) for each of the other owners showing the amounts allocable to each. You also must furnish a Form 1099 to each of the other owners.
2) sometimes a 1099-B is issued for a redemption - that follows the same as above except it's reported on form 8949. proceeds and cost are the same for date acquired use inherited.