AI-Powered CLO Investor Built an Outsized First Brands Position

Money manager Anthelion Capital Partners had an unusually concentrated position in loans of now-bankrupt car-parts supplier First Brands, a blow for an investor that had touted the ability of its AI-driven platform to pick up on subtle market signals.

Anthelion, as of last month, owned about $5 million of First Brands debt as part of a roughly $400 million investment vehicle known as a collateralized loan obligation, according to people familiar with the matter. Since then, the company has fully sold out of its position in First Brands’ debt, the people said.

The percentage of the CLO’s loan portfolio that ...