<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 15, 2006

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

             DELAWARE               001-31604                    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-1 on August 15, 2006.

                        For information with respect to the underlying
                  securities held by PPLUS Trust Series GSG-1, 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.


<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 15, 2006
                           distribution to holders of the PPLUS Trust
                           Certificates Series GSG-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: 08/25/2006                            By:    /s/ Jason Liddell
                                                   -----------------------------
                                            Name:  Jason Liddell
                                            Title: Vice-President


<PAGE>

                                  EXHIBIT INDEX


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

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

             DELAWARE               001-31604                    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-1 on August 15, 2006.

                        For information with respect to the underlying
                  securities held by PPLUS Trust Series GSG-1, 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.

                  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 15, 2006
                           distribution to holders of the PPLUS Trust
                           Certificates Series GSG-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: 08/25/2006                            By:    /s/ Jason Liddell
                                                   -----------------------------
                                            Name:  Jason Liddell
                                            Title: Vice-President
EXHIBIT INDEX

99.1     Trustee's report in respect of the August 15, 2006 distribution to
         holders of the PPLUS Trust Certificates Series GSG-1.