Wearing an orange prison uniform, Bagger wept repeatedly during the interview, apologized to the business associates he let down, and said he cares only for his wife, Anette, and 8-year-old daughter, Olivia.

Asked why he walked out on them in Dubai, he referred ambiguously to "two incidents" that occurred there that convinced him he had to leave. He said he left a note for his wife that read: "I need to get away for a while, watch out for our daughter."

From there he apparently flew to New York, borrowed a sports car and some cash from a business partner, and headed West for Los Angeles. He says he drove for three days in a trance, worried about his family. In Los Angeles he called his older brother, who told him he was wanted by Danish police.

"I am happy that everything is revealed, and now I will cooperate with the police when I get home," he told Ekstra Bladet. "Everything should be on the table. I'm just glad that the nightmare is over."

He admitted to his wrongdoing, according to the report. "I am not a victim in this case," Bagger said. "I am guilty."