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These entries get recorded on Schedule D of the form 1040. It is used as an attachment to the 1040NR for this purpose. From the Schedule D they transfer to the front page of the 1040NR.
I will get the specific line numbers for you and return.
This is a case concerning word use. While you, personally, are not effectively connected, the funds you have invested in are so connected. Also, you are not a broker so you are an investor. Investors are not effectively connected although their investments may be.
You need to complete Schedule D for capital gains and Schedule NEC for interest and dividends. Both will be required of you.