<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): July 18, 2006

                          MERRILL LYNCH DEPOSITOR, INC.
                    (ON BEHALF OF PPLUS TRUST SERIES DCNA-1)
             (Exact name of registrant as specified in its charter)

             DELAWARE             001-32201               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

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>

                      INFORMATION TO BE INCLUDED IN REPORT

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 DCNA-1 on July 18, 2006.

                             For information with respect to the underlying
                         securities held by PPLUS Trust Series DCNA-1, please
                         refer to DaimlerChrysler AG's (Commission file number
                         001-14561) periodic reports, including reports on Form
                         20-F and Form 6-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
                         and underlying securities guarantor have filed
                         electronically with the SEC.

                             Although we have no reason to believe the
                         information concerning the underlying securities, the
                         underlying securities guarantee, the underlying
                         securities guarantor or the underlying securities
                         issuer contained in the underlying securities
                         guarantor'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 or the underlying
                         securities guarantor (including, without limitation, no
                         investigation as to their respective financial
                         condition or creditworthiness) or of the underlying
                         securities or the underlying securities guarantee has
                         been made. You should obtain and evaluate the same
                         information concerning the underlying securities issuer
                         and underlying securities guarantor as you would obtain
                         and evaluate if you were investing directly in the
                         underlying securities and the underlying securities
                         guarantee or in other securities issued by the
                         underlying securities issuer or the underlying
                         securities guarantor. There can be no assurance that
                         events affecting the underlying securities, the
                         underlying securities guarantee, the underlying
                         securities issuer or the underlying securities
                         guarantor 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.

                         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 July 18, 2006
                               distribution to holders of the PPLUS Trust
                               Certificates Series DCNA-1.

<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: July 24, 2006                   By: /s/ Jason Liddell
                                                   ----------------------
                                               Name:  Jason Liddell
                                               Title: Vice President

<PAGE>

                                            EXHIBIT INDEX


                         99.1  Trustee's report in respect of the July 18, 2006
                               distribution to holders of the PPLUS Trust
                               Certificates Series DCNA-1.
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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): July 18, 2006

                          MERRILL LYNCH DEPOSITOR, INC.
                    (ON BEHALF OF PPLUS TRUST SERIES DCNA-1)
             (Exact name of registrant as specified in its charter)

             DELAWARE             001-32201               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

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))
INFORMATION TO BE INCLUDED IN REPORT

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 DCNA-1 on July 18, 2006.

                             For information with respect to the underlying
                         securities held by PPLUS Trust Series DCNA-1, please
                         refer to DaimlerChrysler AG's (Commission file number
                         001-14561) periodic reports, including reports on Form
                         20-F and Form 6-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
                         and underlying securities guarantor have filed
                         electronically with the SEC.

                             Although we have no reason to believe the
                         information concerning the underlying securities, the
                         underlying securities guarantee, the underlying
                         securities guarantor or the underlying securities
                         issuer contained in the underlying securities
                         guarantor'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 or the underlying
                         securities guarantor (including, without limitation, no
                         investigation as to their respective financial
                         condition or creditworthiness) or of the underlying
                         securities or the underlying securities guarantee has
                         been made. You should obtain and evaluate the same
                         information concerning the underlying securities issuer
                         and underlying securities guarantor as you would obtain
                         and evaluate if you were investing directly in the
                         underlying securities and the underlying securities
                         guarantee or in other securities issued by the
                         underlying securities issuer or the underlying
                         securities guarantor. There can be no assurance that
                         events affecting the underlying securities, the
                         underlying securities guarantee, the underlying
                         securities issuer or the underlying securities
                         guarantor 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 July 18, 2006
                               distribution to holders of the PPLUS Trust
                               Certificates Series DCNA-1.
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: July 24, 2006                   By: /s/ Jason Liddell
                                                   ----------------------
                                               Name:  Jason Liddell
                                               Title: Vice President
EXHIBIT INDEX

                         99.1  Trustee's report in respect of the July 18, 2006
                               distribution to holders of the PPLUS Trust
                               Certificates Series DCNA-1.