Use the tax statement - but these are referring to different things. You will report both the dividends and your capital loss.
There are different sections in the program for each - and you will enter the dividends in the area for 1099-DIV (your Pershing tax statement should have an area for this on the form, usually just a fairly small block on one of the first few pages.)
The section regarding the long term proceeds and cost basis will go into the section "Capital gains and losses" in "Stocks, bonds, mutual funds, other."
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