-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, HccEQDFd2sZLtqWq7jhWMTQTFUECm3ayK8G09mVNRRjUmA1WNiHbgvITdIY7NjUe ybvpCyOvJjONkIvFxl+MsQ== 0001072613-06-002273.txt : 20061113 0001072613-06-002273.hdr.sgml : 20061110 20061113120250 ACCESSION NUMBER: 0001072613-06-002273 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20060930 FILED AS OF DATE: 20061113 DATE AS OF CHANGE: 20061113 EFFECTIVENESS DATE: 20061113 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Grantham, Mayo, Van Otterloo & Co. LLC CENTRAL INDEX KEY: 0001352662 IRS NUMBER: 042691242 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 13F-HR SEC ACT: 1934 Act SEC FILE NUMBER: 028-11599 FILM NUMBER: 061206852 BUSINESS ADDRESS: STREET 1: 40 ROWES WHARF CITY: BOSTON STATE: MA ZIP: 02110 BUSINESS PHONE: 617-330-7500 MAIL ADDRESS: STREET 1: 40 ROWES WHARF CITY: BOSTON STATE: MA ZIP: 02110 13F-HR 1 form13f_14725.txt GRANTHAM, MAYO, VAN OTTERLOO & CO. LLC 13F-HR UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 13F COVER PAGE Report for the Calendar Year or Quarter Ended: September 30, 2006 Check here if Amendment [_]; Amendment Number: This Amendment (Check only one.): [_] is a restatement. [_] adds new holdings entries. Institutional Investment Manager Filing this Report: Name: Grantham, Mayo, Van Otterloo & Co. LLC Address: 40 Rowes Wharf Boston, MA 02110 13F File Number: 028-11599 The institutional investment manager filing this report and the person by whom it is signed hereby represent that the person signing the report is authorized to submit it, that all information contained herein is true, correct and complete, and that it is understood that all required items, statements, schedules, lists, and tables, are considered integral parts of this form. Person Signing this Report on Behalf of Reporting Manager: Name: J. B. Kittredge Title: General Counsel Phone:(617) 790-5017 Signature, Place and Date of Signing: /s/ J. B. Kittredge Boston, MA November __, 2006 - -------------------------------------------------- Report Type (Check only one.): [X] 13F HOLDINGS REPORT. [_] 13F NOTICE. [_] 13F COMBINATION REPORT. List of Other Managers Reporting for this Manager: I AM SIGNING THIS REPORT AS REQUIRED BY THE SECURITIES AND EXCHANGE ACT OF 1934. FORM 13F SUMMARY PAGE Report Summary: Number of Other Managers Included: 0 Form 13F Information Table Entry Total: 1300 Form 13F Information Table Value Total: 34848915 (000's omitted) List of Other Included Managers: No. 13F File Number Name
FORM 13F INFORMATION TABLE VALUE SHARES/ SH/ PUT/ INVSTMT -----VOTING AUTHORITY----- NAME OF ISSUER -TITLE OF CLASS- --CUSIP-- (x$1000) PRN AMT PRN CALL DSCRETN -MANAGERS- SOLE SHARED NONE - ------------------------------------------------------------------------------------------------------------------------------------ 21ST CENTY INS GROUP COM 90130N103 378 25300 SH SOLE 25300 0 0 3M CO COM 88579Y101 105676 1420000 SH SOLE 1420000 0 0 AAR CORP COM 361105 1750 73400 SH SOLE 3300 0 70100 ABAXIS INC COM 2567105 5784 247300 SH SOLE 2400 0 244900 ABBOTT LABS COM 2824100 100709 2073900 SH SOLE 2073900 0 0 ABERCROMBIE & FITCH CO CL A 2896207 30452 438286 SH SOLE 357786 0 80500 ACUITY BRANDS INC COM 00508Y102 10342 227800 SH SOLE 38000 0 189800 ADMINISTAFF INC COM 7094105 6801 201800 SH SOLE 1900 0 199900 ADOBE SYS INC COM 00724F101 2403 64158 SH SOLE 64158 0 0 ADTRAN INC COM 00738A106 13775 577800 SH SOLE 118200 0 459600 ADVANCE AMER CASH ADVANCE CT COM 00739W107 751 52100 SH SOLE 52100 0 0 ADVANCE AUTO PARTS INC COM 00751Y106 6334 192300 SH SOLE 45800 0 146500 ADVANCED MEDICAL OPTICS INC COM 00763M108 2306 58300 SH SOLE 58300 0 0 ADVANCED SEMICONDUCTOR ENGR SPONSORED ADR 00756M404 85 18097 SH SOLE 18097 0 0 ADVANTA CORP CL B 7942204 210 5700 SH SOLE 5700 0 0 ADVENT SOFTWARE INC COM 7974108 1901 52500 SH SOLE 300 0 52200 AEROFLEX INC COM 7768104 2721 264700 SH SOLE 2700 0 262000 AEROPOSTALE COM 7865108 5197 177800 SH SOLE 1600 0 176200 AES CORP COM 00130H105 4351 213400 SH SOLE 213400 0 0 AETNA INC NEW COM 00817Y108 3517 88916 SH SOLE 43916 0 45000 AFFILIATED COMPUTER SERVICES CL A 8190100 70500 1359428 SH SOLE 1340128 0 19300 AFFILIATED MANAGERS GROUP COM 8252108 5686 56800 SH SOLE 10000 0 46800 AFLAC INC COM 1055102 142263 3108900 SH SOLE 2864000 0 244900 AFTERMARKET TECHNOLOGY CORP COM 8318107 265 14900 SH SOLE 14900 0 0 AGCO CORP COM 1084102 1354 53400 SH SOLE 53400 0 0 AGERE SYS INC COM 00845V308 2558 171300 SH SOLE 171300 0 0 AGILENT TECHNOLOGIES INC COM 00846U101 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ALLERGAN INC COM 18490102 30979 275100 SH SOLE 275100 0 0 ALLIANCE DATA SYSTEMS CORP COM 18581108 21005 380600 SH SOLE 217900 0 162700 ALLIANCEBERNSTEIN HOLDING LP UNIT LTD PARTN 01881G106 1508 21864 SH SOLE 21864 0 0 ALLIANT ENERGY CORP COM 18802108 591 16545 SH SOLE 16545 0 0 ALLIANT TECHSYSTEMS INC COM 18804104 6574 81100 SH SOLE 4400 0 76700 ALLIED WASTE INDS INC COM PAR$.01NEW 19589308 14217 1261508 SH SOLE 752408 0 509100 ALLSTATE CORP COM 20002101 73754 1175735 SH SOLE 1103835 0 71900 ALLTEL CORP COM 20039103 53995 972883 SH SOLE 972883 0 0 ALPHARMA INC CL A 20813101 7050 301400 SH SOLE 4000 0 297400 ALTRIA GROUP INC COM 02209S103 318915 4166097 SH SOLE 3852597 0 313500 AMB PROPERTY CORP COM 00163T109 1020 18500 SH SOLE 18500 0 0 AMBAC FINL GROUP INC COM 23139108 68690 830095 SH SOLE 743395 0 86700 AMCOL INTL CORP COM 02341W103 3517 141200 SH SOLE 1300 0 139900 AMERICA MOVIL S A DE C V SPON ADR L SHS 02364W105 8567 217600 SH SOLE 136500 0 81100 AMERICAN AXLE & MFG HLDGS IN COM 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10500 SH SOLE 10500 0 0 AMERUS GROUP CO COM 03072M108 16921 248800 SH SOLE 193000 0 55800 AMGEN INC COM 31162100 20843 291386 SH SOLE 291386 0 0 AMKOR TECHNOLOGY INC COM 31652100 5609 1089100 SH SOLE 11000 0 1078100 AMN HEALTHCARE SERVICES INC COM 1744101 5458 229800 SH SOLE 20500 0 209300 AMPHENOL CORP NEW CL A 32095101 1808 29200 SH SOLE 29200 0 0 AMR CORP COM 1765106 21238 917800 SH SOLE 8300 0 909500 AMSOUTH BANCORPORATION COM 32165102 3395 116900 SH SOLE 83200 0 33700 AMYLIN PHARMACEUTICALS INC COM 32346108 476 10800 SH SOLE 10800 0 0 ANADARKO PETE CORP COM 32511107 85429 1949100 SH SOLE 1795700 0 153400 ANAREN INC COM 32744104 2564 121700 SH SOLE 12000 0 109700 ANCHOR BANCORP WIS INC COM 32839102 429 15000 SH SOLE 15000 0 0 ANDERSONS INC COM 34164103 2425 71000 SH SOLE 800 0 70200 ANHEUSER BUSCH COS INC COM 35229103 128595 2706700 SH SOLE 2687900 0 18800 ANIXTER INTL INC COM 35290105 2456 43500 SH SOLE 6300 0 37200 ANNALY CAP MGMT INC COM 35710409 1198 91200 SH SOLE 91200 0 0 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