X0202 5 2006-12-31 0 0 1 0001335249 HIGHBURY FINANCIAL INC HBRF 0001301396 Context Capital Management, LLC 12626 HIGH BLUFF DRIVE SUITE 440 SAN DIEGO CA 92130 0 0 1 0 0001389347 Context Advantage Master Fund, L.P. P.O. BOX 1343GT, STRATHVALE HOUSE GROUND FLOOR, NORTH CHURCH STREET GEORGE TOWN, GRAND CAYMAN E9 KY1-1108 CAYMAN ISLANDS 0 0 1 0 0001245878 ROSEN MICHAEL S CONTEXT CAPITAL MANAGEMENT LLC 12626 HIGH BLUFF DRIVE STE 440 SAN DIEGO CA 92130 0 0 1 0 0001227681 FERTIG WILLIAM D 6 DESTA DRIVE SUITE 400 MIDLAND TX 79705 0 0 1 0 Common Stock 2006-11-30 4 P 0 L 5000 5.95 A 793500 I Footnotes 1, 2, 3 Common Stock Warrants (right to buy) 5 2006-11-30 5 S 0 L 2500 1.63 D 2007-01-25 2010-01-25 Common Stock 2500 1873700 I Footnotes 1, 2, 3 Common Stock Warrants (right to buy) 5 2006-12-01 5 S 0 L 6000 1.68 D 2007-01-25 2010-01-25 Common Stock 6000 1873700 I Footnotes 1, 2, 3 Common Stock Warrants (right to buy) 5 2006-12-14 5 S 0 L 500 1.59 D 2007-01-25 2010-01-25 Common Stock 500 1873700 I Footnotes 1, 2, 3 Common Stock Warrants (right to buy) 5 2006-12-15 5 S 0 L 10000 1.59 D 2007-01-25 2010-01-25 Common Stock 10000 1763700 I Footnotes 1,2, 3 Common Stock Warrants (right to buy) 5 2006-12-18 5 S 0 L 5000 1.6 D 2007-01-25 2010-01-25 Common Stock 5000 1873700 I Footnotes 1, 2, 3 Common Stock Warrants (right to buy) 5 2006-12-27 5 S 0 L 55000 1.6483 D 2007-01-25 2010-01-25 Common Stock 55000 1873700 I Footnotes 1, 2, 3 The reporting persons are Context Capital Management, LLC, a Delaware limited liability company ("LLC"), Context Advantage Master Fund, L.P., a Cayman Islands limited partnership ("LP"), Michael S. Rosen and William D. Fertig. LLC is a registered investment adviser. Mr. Rosen and Mr. Fertig are the control persons of LLC. LP is an investment fund of which LLC is the general partner. LLC, LP, Mr. Rosen and Mr. Fertig are filing this Form jointly. LLC, Mr. Rosen and Mr. Fertig constitute a group within the meaning of Rule 13d-5(b) under the Securities Exchange Act of 1934, as amended (the "Exchange Act"), but disclaim membership in a group with any other person. LP is filing this Form jointly with the other reporting persons, but not as a member of a group, and expressly disclaims membership in a group. In addition, the filing of this Form on behalf of LP should not be construed as an admission that LP is, and LP disclaims that it is, the beneficial owner, as defined in Rule 13d-3 under the 1934 Act, of any of the securities covered by this Form. These securities are held directly by LP and by other investment funds and accounts of which LLC is the investment adviser or general partner, for the benefit of the investors in that partnership, those funds and those accounts. All of the securities reported here are indirectly beneficially owned by LLC, Rosen and Fertig, who disclaim beneficial ownership of such securities except to the extent of their pecuniary interest therein. On November 30, 2006, at the time the reporting persons became 10% beneficial owners, each of LLC, Rosen and Fertig beneficially owned, indirectly, 793,500 shares of Common Stock and 1,950,200 Warrants, of which 684,500 shares of Common Stock and 1,179,250 Warrants were beneficially owned directly by LP. These totals reflect the holdings after the reporting persons' November 30 purchase of 5,000 shares of Common Stock and sale of 2,500 Warrants. Although those November 30 transactions are voluntarily reported on this Form, they were effected on that date before Highbury's filing of a Report on Form 8-K announcing its completion of a merger, which announcement fixed the exercise date of the Warrants and caused the reporting persons to become 10% beneficial owners. On December 31, 2006, each of LLC, Rosen and Fertig beneficially owned, indirectly, 793,500 shares of Common Stock and 1,873,700 Warrants, of which 684,500 shares of Common Stock and 1,108,350 Warrants were beneficially owned directly by LP. Context Capital Management, LLC by Michael S. Rosen, Manager 2007-02-27 Context Advantage Master Fund, L.P. by Context Capital management, LLC< GP, by Michael S. Rosen, Manager 2007-02-27 Michael S. Rosen 2007-02-27 William D. Fertig 2007-02-27