<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-2)
             (Exact name of registrant as specified in its charter)

               DELAWARE                001-31754                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-2 on August 15, 2006.

                            For information with respect to the underlying
                   securities held by PPLUS Trust Series GSG-2, 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.

                      None.

               (b)    Pro forma financial information.

                      None.

               (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-2.


<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-2.
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{"company-data": {"conformed-name": "MERRILL LYNCH DEPOSITOR INC PPLUS TRUST SERIES GSG-2", "cik": "0001256359", "assigned-sic": "6189", "irs-number": "133891329", "state-of-incorporation": "DE", "fiscal-year-end": "1231"}, "filing-values": {"form-type": "8-K", "act": "34", "file-number": "001-31754", "film-number": "061059515"}, "business-address": {"street1": "4 WORLD FINANCIAL CENTER", "street2": "NORTH TWR 7TH FL", "city": "NEW YORK", "state": "NY", "zip": "10080", "phone": "2124491000"}, "mail-address": {"street1": "4 WORLD FINANCIAL TOWER", "street2": "NORTH TWR. 7TH FL", "city": "NEW YORK", "state": "NY", "zip": "10080"}}
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-2)
             (Exact name of registrant as specified in its charter)

               DELAWARE                001-31754                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-2 on August 15, 2006.

                            For information with respect to the underlying
                   securities held by PPLUS Trust Series GSG-2, 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.

                      None.

               (b)    Pro forma financial information.

                      None.

               (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-2.
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-2.