<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-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 February 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.

<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 February 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: 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-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): February 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 February 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 February 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: 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-1.