The Holding Caves are an abandoned set of slave pens located just outside Kirkwall dating back to the days when the Tevinter Imperium still ruled over the city. It is only accessible during Fenris's companion quest A Bitter Pill.
In Act 2, Tevinter hunters catch up with Fenris. After defeating them, Fenris insists on going to the Holding Caves to kill Hadriana, the magister apprenticed to Danarius. Upon arrival, Hawke is attacked by slavers guarding the entrance.
Bug!pcxbox360The Holding Caves remain on the world map after A Bitter Pill, and when revisited, the only way to exit is to run through the Abandoned Slaver Den. Fenris remains locked into the party until Hawke returns to Hawke Estate.