<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 1, 2006

                          MERRILL LYNCH DEPOSITOR, INC.
                     (ON BEHALF OF PPLUS TRUST SERIES LMG-3)
             (Exact name of registrant as specified in its charter)

              DELAWARE                001-32285                 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-3 on February 1, 2006.

                                    For information with respect to the
                           underlying securities held by PPLUS Trust Series
                           LMG-3, 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 February
                                  1, 2006 distribution to holders of the PPLUS
                                  Trust Certificates Series LMG-3.

<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 13, 2006             By:     /s/ Stephan Kuppenheimer
                                                      ------------------------
                                             Name:   Stephan Kuppenheimer
                                             Title:  President



                                  EXHIBIT INDEX


         99.1     Trustee's report in respect of the February 1, 2006
                  distribution to holders of the PPLUS Trust Certificates Series
                  LMG-3.
[{"type": "8-K", "sequence": "1", "filename": "b411546_8k.txt", "description": "FORM 8-K", "secsgml_size_bytes": 7888}]
{"company-data": {"conformed-name": "PPLUS Trust Series LMG-3", "cik": "0001300492", "assigned-sic": "6189", "irs-number": "133891329", "fiscal-year-end": "1231"}, "filing-values": {"form-type": "8-K", "act": "34", "file-number": "001-32285", "film-number": "06604327"}, "business-address": {"street1": "WORLD FINANCIAL CENTER", "city": "NEW YORK", "state": "NY", "zip": "10281", "phone": "2124491000"}, "mail-address": {"street1": "WORLD FINANCIAL CENTER", "city": "NEW YORK", "state": "X1", "zip": "10080"}, "former-company": {"former-conformed-name": "PPLUS Trust Series LMG-3-Class A", "date-changed": "20040812"}}
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 1, 2006

                          MERRILL LYNCH DEPOSITOR, INC.
                     (ON BEHALF OF PPLUS TRUST SERIES LMG-3)
             (Exact name of registrant as specified in its charter)

              DELAWARE                001-32285                 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-3 on February 1, 2006.

                                    For information with respect to the
                           underlying securities held by PPLUS Trust Series
                           LMG-3, 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 February
                                  1, 2006 distribution to holders of the PPLUS
                                  Trust Certificates Series LMG-3.
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 13, 2006             By:     /s/ Stephan Kuppenheimer
                                                      ------------------------
                                             Name:   Stephan Kuppenheimer
                                             Title:  President

                                  EXHIBIT INDEX

         99.1     Trustee's report in respect of the February 1, 2006
                  distribution to holders of the PPLUS Trust Certificates Series
                  LMG-3.