Do you already have a page with all the reports? Or you have a page with a search box for searching the reports?
Instead of creating new pages that each contain a list of report-links based on their first letter, you can enhance your search functionality on the page you already have or slightly re-structure it.
What I have in mind, is to have all the report-links appear in one page (the one you already have), categorized alphabetically based on their first letter. Each link will direct to the report-specific page and each report-specific page will have a link directing back to the main report-links page.
That way you get the following benefits:
1.) You enhance the authority of the page you already have.
2.) You don't need to create hundreds of new pages, you use the links you already have and just categorize them in one page.
If you don't have a page for listing all the links and just have a search box (hence my initial question), consider creating a dedicated page for listing links to the reports. It will still be easier (and better) to do and maintain than creating many new pages, both programming and SEO wise.