<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): APRIL 17, 2006

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

           DELAWARE                001-31595                      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 VAL-1 on April  17, 2006.

                                    For information with respect to the
                      underlying securities held by PPLUS Trust Series VAL-1,
                      please refer to Valero Energy Corporation's (Commission
                      file number 001-13175) 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 April 17, 2006
                               distribution to holders of the PPLUS Trust
                               Certificates Series VAL-1.


                                   SIGNATURES

Pursuant to the requirements of Section 12 of the Securities Exchange Act of
1934, the registrant has duly caused this report to be signed on its behalf by
the undersigned, thereto duly authorized.


                                      MERRILL LYNCH DEPOSITOR, INC.

         Date:                        By:    /s/ Stephan Kuppenheimer
                                             ------------------------------
                                      Name:  Stephan Kuppenheimer
                                      Title: President



<PAGE>



                                  EXHIBIT INDEX


         99.1       Trustee's report in respect of the April 17, 2006
                    distribution to holders of the PPLUS Trust Certificates
                    Series VAL-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): APRIL 17, 2006

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

           DELAWARE                001-31595                      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 VAL-1 on April  17, 2006.

                                    For information with respect to the
                      underlying securities held by PPLUS Trust Series VAL-1,
                      please refer to Valero Energy Corporation's (Commission
                      file number 001-13175) 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 April 17, 2006
                               distribution to holders of the PPLUS Trust
                               Certificates Series VAL-1.

                                   SIGNATURES

Pursuant to the requirements of Section 12 of the Securities Exchange Act of
1934, the registrant has duly caused this report to be signed on its behalf by
the undersigned, thereto duly authorized.

                                      MERRILL LYNCH DEPOSITOR, INC.

         Date:                        By:    /s/ Stephan Kuppenheimer
                                             ------------------------------
                                      Name:  Stephan Kuppenheimer
                                      Title: President
EXHIBIT INDEX

         99.1       Trustee's report in respect of the April 17, 2006
                    distribution to holders of the PPLUS Trust Certificates
                    Series VAL-1.