<PAGE>


                       SECURITIES AND EXCHANGE COMMISSION
                             WASHINGTON, D. C. 20549

                           --------------------------

                                    FORM 8-K

                                 CURRENT REPORT

                       Pursuant to Section 13 or 15(d) of
                       The Securities Exchange Act of 1934

                            -------------------------

        Date of Report (Date of earliest event reported): August 1, 2006

                          MERRILL LYNCH DEPOSITOR, INC.
                     (ON BEHALF OF PPLUS TRUST SERIES LMG-4)
             (Exact name of registrant as specified in its charter)

          DELAWARE             001-32415                13-3891329
      (State or other        (Commission            (I. R. S. Employer
      jurisdiction  of        File Number)          Identification No.)
       incorporation)

    WORLD FINANCIAL CENTER,                                  10080
      NEW YORK,  NEW YORK                                 (Zip Code)
     (Address of principal
      executive offices)

                           --------------------------

       Registrant's telephone number, including area code: (212) 449-1000


                      INFORMATION TO BE INCLUDED IN REPORT

Check the appropriate box below if the Form 8-K filing is intended to
simultaneously satisfy the filing obligation of the registrant under any of the
following provisions (see General Instruction A.2.):

[ ] Written communications pursuant to Rule 425 under the Securities Act (17 CFR
230.425)

[ ] Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR
240.14a-12)

[ ] Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange
Act (17 CFR 240.14d-2(b))

[ ] Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange
Act (17 CFR 240.13e-4(c))

<PAGE>


SECTION 1.     REGISTRANT'S BUSINESS AND OPERATIONS

               Not applicable.

SECTION 2.     FINANCIAL INFORMATION

               Not applicable.

SECTION 3.     SECURITIES AND TRADING MARKETS

               Not applicable.

SECTION 4.     MATTERS RELATED TO ACCOUNTANTS AND FINANCIAL STATEMENTS

               Not applicable.

SECTION 5.     CORPORATE GOVERNANCE AND MANAGEMENT

               Not applicable.

SECTION 6.     ASSET-BACKED SECURITIES

               Not applicable.

SECTION 7.     REGULATION FD

               Not applicable.

SECTION 8.     OTHER EVENTS

  ITEM 8.01    OTHER EVENTS

       99.1    Distribution to holders of the PPLUS Trust Certificates Series
               LMG-4 on August 1, 2006.

                      For information with respect to the underlying securities
               held by PPLUS Trust Series LMG-4, please refer to the Liberty
               Media Corporation's (Commission file number 001-16615) periodic
               reports, including annual reports on Form 10-K, quarterly reports
               on Form 10-Q and current reports on Form 8-K, and other
               information on file with the Securities and Exchange Commission
               (the "SEC"). You can read and copy these reports and other
               information at the public reference facilities maintained by the
               SEC at Room 1580, 100 F Street, NE, Washington, D.C. 20549. You
               may obtain copies of this material for a fee by writing to the
               SEC's Public Reference Section of the SEC at 100 F Street, NE,
               Washington, D.C. 20549. You may obtain information about the
               operation of the Public Reference Room by calling the SEC at
               1-800-SEC-0330. You can also access some of this information
               electronically by means of the SEC's website on the Internet at
               http://www.sec.gov, which contains reports, proxy and information
               statements and other information that the underlying securities
               issuer has filed electronically with the SEC.


<PAGE>

                      Although we have no reason to believe the information
               concerning the underlying securities or the underlying securities
               issuer contained in the underlying securities issuer's Exchange
               Act reports is not reliable, neither the depositor nor the
               trustee participated in the preparation of such documents or made
               any due diligence inquiry with respect to the information
               provided therein. No investigation with respect to the underlying
               securities issuer (including, without limitation, no
               investigation as to its financial condition or creditworthiness)
               or of the underlying securities has been made. You should obtain
               and evaluate the same information concerning the underlying
               securities issuer as you would obtain and evaluate if your
               investment were directly in the underlying securities or in other
               securities issued by the underlying securities issuer. There can
               be no assurance that events affecting the underlying securities
               or the underlying securities issuer have not occurred or have not
               yet been publicly disclosed which would affect the accuracy or
               completeness of the publicly available documents described above.

SECTION 9. FINANCIAL STATEMENTS AND EXHIBITS

  ITEM 9.01    FINANCIAL STATEMENTS AND EXHIBITS


        (a)    Financial statements of business acquired.

               Not Applicable.

        (b)    Pro forma financial information.

               Not Applicable.

        (c)    Shell Company transactions.

               Not applicable

        (d)    Exhibits.

               99.1    Trustee's report in respect of the August 1, 2006
                       distribution to holders of the PPLUS Trust Certificates
                       Series LMG-4.


<PAGE>


                                   SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned, hereunto duly authorized.


                                     MERRILL LYNCH DEPOSITOR, INC.

Date: August 8, 2006                 By: /s/ Jason Liddell
                                         -------------------------------------
                                     Name: Jason Liddell
                                     Title: Vice President



<PAGE>


                                  EXHIBIT INDEX


99.1  Trustee's report in respect of the August 1, 2006 distribution to holders
      of the PPLUS Trust Certificates Series LMG-4.
[{"type": "8-K", "sequence": "1", "filename": "b414366_8k.txt", "description": "FORM 8-K", "secsgml_size_bytes": 6778}]
{"company-data": {"conformed-name": "PPlus Trust Series LMG-4", "cik": "0001314270", "assigned-sic": "6189", "state-of-incorporation": "DE", "fiscal-year-end": "1231"}, "filing-values": {"form-type": "8-K", "act": "34", "file-number": "001-32415", "film-number": "061021963"}, "business-address": {"street1": "WORLD FINANCIAL CENTER", "city": "NEW YORK", "state": "NY", "zip": "10281", "phone": "2124491000"}}
SECURITIES AND EXCHANGE COMMISSION
                             WASHINGTON, D. C. 20549

                           --------------------------

                                    FORM 8-K

                                 CURRENT REPORT

                       Pursuant to Section 13 or 15(d) of
                       The Securities Exchange Act of 1934

                            -------------------------

        Date of Report (Date of earliest event reported): August 1, 2006

                          MERRILL LYNCH DEPOSITOR, INC.
                     (ON BEHALF OF PPLUS TRUST SERIES LMG-4)
             (Exact name of registrant as specified in its charter)

          DELAWARE             001-32415                13-3891329
      (State or other        (Commission            (I. R. S. Employer
      jurisdiction  of        File Number)          Identification No.)
       incorporation)

    WORLD FINANCIAL CENTER,                                  10080
      NEW YORK,  NEW YORK                                 (Zip Code)
     (Address of principal
      executive offices)

                           --------------------------

       Registrant's telephone number, including area code: (212) 449-1000

                      INFORMATION TO BE INCLUDED IN REPORT

Check the appropriate box below if the Form 8-K filing is intended to
simultaneously satisfy the filing obligation of the registrant under any of the
following provisions (see General Instruction A.2.):

[ ] Written communications pursuant to Rule 425 under the Securities Act (17 CFR
230.425)

[ ] Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR
240.14a-12)

[ ] Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange
Act (17 CFR 240.14d-2(b))

[ ] Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange
Act (17 CFR 240.13e-4(c))
SECTION 1.     REGISTRANT'S BUSINESS AND OPERATIONS

               Not applicable.

SECTION 2.     FINANCIAL INFORMATION

               Not applicable.

SECTION 3.     SECURITIES AND TRADING MARKETS

               Not applicable.

SECTION 4.     MATTERS RELATED TO ACCOUNTANTS AND FINANCIAL STATEMENTS

               Not applicable.

SECTION 5.     CORPORATE GOVERNANCE AND MANAGEMENT

               Not applicable.

SECTION 6.     ASSET-BACKED SECURITIES

               Not applicable.

SECTION 7.     REGULATION FD

               Not applicable.

SECTION 8.     OTHER EVENTS

  ITEM 8.01    OTHER EVENTS

       99.1    Distribution to holders of the PPLUS Trust Certificates Series
               LMG-4 on August 1, 2006.

                      For information with respect to the underlying securities
               held by PPLUS Trust Series LMG-4, please refer to the Liberty
               Media Corporation's (Commission file number 001-16615) periodic
               reports, including annual reports on Form 10-K, quarterly reports
               on Form 10-Q and current reports on Form 8-K, and other
               information on file with the Securities and Exchange Commission
               (the "SEC"). You can read and copy these reports and other
               information at the public reference facilities maintained by the
               SEC at Room 1580, 100 F Street, NE, Washington, D.C. 20549. You
               may obtain copies of this material for a fee by writing to the
               SEC's Public Reference Section of the SEC at 100 F Street, NE,
               Washington, D.C. 20549. You may obtain information about the
               operation of the Public Reference Room by calling the SEC at
               1-800-SEC-0330. You can also access some of this information
               electronically by means of the SEC's website on the Internet at
               http://www.sec.gov, which contains reports, proxy and information
               statements and other information that the underlying securities
               issuer has filed electronically with the SEC.
Although we have no reason to believe the information
               concerning the underlying securities or the underlying securities
               issuer contained in the underlying securities issuer's Exchange
               Act reports is not reliable, neither the depositor nor the
               trustee participated in the preparation of such documents or made
               any due diligence inquiry with respect to the information
               provided therein. No investigation with respect to the underlying
               securities issuer (including, without limitation, no
               investigation as to its financial condition or creditworthiness)
               or of the underlying securities has been made. You should obtain
               and evaluate the same information concerning the underlying
               securities issuer as you would obtain and evaluate if your
               investment were directly in the underlying securities or in other
               securities issued by the underlying securities issuer. There can
               be no assurance that events affecting the underlying securities
               or the underlying securities issuer have not occurred or have not
               yet been publicly disclosed which would affect the accuracy or
               completeness of the publicly available documents described above.

SECTION 9. FINANCIAL STATEMENTS AND EXHIBITS

  ITEM 9.01    FINANCIAL STATEMENTS AND EXHIBITS

        (a)    Financial statements of business acquired.

               Not Applicable.

        (b)    Pro forma financial information.

               Not Applicable.

        (c)    Shell Company transactions.

               Not applicable

        (d)    Exhibits.

               99.1    Trustee's report in respect of the August 1, 2006
                       distribution to holders of the PPLUS Trust Certificates
                       Series LMG-4.
SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned, hereunto duly authorized.

                                     MERRILL LYNCH DEPOSITOR, INC.

Date: August 8, 2006                 By: /s/ Jason Liddell
                                         -------------------------------------
                                     Name: Jason Liddell
                                     Title: Vice President
EXHIBIT INDEX

99.1  Trustee's report in respect of the August 1, 2006 distribution to holders
      of the PPLUS Trust Certificates Series LMG-4.