Investment Managers
CABA Capital — Investment Case
CABA Capital A/S is an independent hedge fund manager founded in Copenhagen in 2016, specialising in fixed income strategies anchored in the Danish mortgage bond market. The Danish mortgage system is unique globally: it is the world's largest covered bond market relative to GDP and operates under a balance principle that creates a direct, transparent link between mortgage loans and the bonds that fund them.
The strategy targets the structural risk premia that arise from this market's unique characteristics — particularly the prepayment optionality embedded in callable mortgage bonds and the spread differential between mortgage bonds and government bonds. These dynamics are driven by domestic Danish economic factors, meaning returns are largely independent of global equity markets and international credit spreads.
Why this strategy is distinctive
Access to Danish mortgage bonds requires specialist market knowledge and local infrastructure. The market is thinly covered by international allocators, creating persistent pricing inefficiencies that CABA's team can systematically exploit.
Whitecroft Capital Management — Investment Case
Whitecroft Capital Management is an alternative asset management firm with offices in London and Copenhagen, founded in 2016. The firm is a specialist investor in bank risk sharing transactions — one of the most structurally compelling and least understood opportunities in the credit markets.
Bank risk sharing involves banks transferring the economic risk of a portion of their existing loan portfolios to third-party investors, in exchange for capital relief under Basel III regulatory requirements. Because banks need this capital relief on an ongoing basis — and because the pool of eligible investors is small — banks must offer a meaningful premium over what the underlying credit risk would otherwise warrant.
The structural edge
The loans underlying these transactions are typically core bank balance sheet assets: corporate loans, SME lending, trade finance — predominantly investment-grade quality. The risk profile is fundamentally different from leveraged loans or high yield bonds, yet the returns are comparable or superior.
Why correlation to public markets is near zero
Bank risk sharing returns are driven by the credit performance of bank loan portfolios, not by mark-to-market movements in public securities. There is no daily pricing, no secondary market volatility, and no sensitivity to equity market sentiment.