<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): February 15, 2006

                          MERRILL LYNCH DEPOSITOR, INC.
                     (ON BEHALF OF PPLUS TRUST SERIES GSG-2)
             (Exact name of registrant as specified in its charter)

        DELAWARE                  001-31754                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 GSG-2 on February 15, 2006.

                         For information with respect to the underlying
                    securities held by PPLUS Trust Series GSG-2, please refer to
                    The Goldman Sachs Group, Inc.'s (Commission file number
                    001-14965) 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.

<PAGE>

SECTION 9. FINANCIAL STATEMENTS AND EXHIBITS

         ITEM 9.01  FINANCIAL STATEMENTS AND EXHIBITS


               (a)  Financial statements of business acquired.

                    None.

               (b)  Pro forma financial information.

                    None.

               (c)  Shell company transactions.

                    Not applicable.

               (d)  Exhibits.

              99.1  Trustee's report in respect of the February 15, 2006
                    distribution to holders of the PPLUS Trust Certificates
                    Series GSG-2.

<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: February 28, 2006           By: /s/ Stephan Kuppenheimer
                                      ------------------------------
                                  Name:  Stephan Kuppenheimer
                                  Title: President


<PAGE>

                                  EXHIBIT INDEX

99.1  Trustee's report in respect of the February 15, 2006 distribution to
      holders of the PPLUS Trust Certificates Series GSG-2.
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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): February 15, 2006

                          MERRILL LYNCH DEPOSITOR, INC.
                     (ON BEHALF OF PPLUS TRUST SERIES GSG-2)
             (Exact name of registrant as specified in its charter)

        DELAWARE                  001-31754                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 GSG-2 on February 15, 2006.

                         For information with respect to the underlying
                    securities held by PPLUS Trust Series GSG-2, please refer to
                    The Goldman Sachs Group, Inc.'s (Commission file number
                    001-14965) 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.

                    None.

               (b)  Pro forma financial information.

                    None.

               (c)  Shell company transactions.

                    Not applicable.

               (d)  Exhibits.

              99.1  Trustee's report in respect of the February 15, 2006
                    distribution to holders of the PPLUS Trust Certificates
                    Series GSG-2.
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: February 28, 2006           By: /s/ Stephan Kuppenheimer
                                      ------------------------------
                                  Name:  Stephan Kuppenheimer
                                  Title: President
EXHIBIT INDEX

99.1  Trustee's report in respect of the February 15, 2006 distribution to
      holders of the PPLUS Trust Certificates Series GSG-2.