H&W Form 5500s and Self-insured Captive plan

Hello, I first freely admit that I am not able to understand the inner workings of captive insurance. It remains as a mystery. Never the less, I am preparing a health and welfare Form 5500 and the group notes that they have a self-funded captive benefit. I assume to treat this as a self-funded benefit and ask for no Schedule As. However I thought best to check. Can anyone provide some insight for me on this subject? Many many thanks!