<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): June 1, 2006

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

              DELAWARE             001-16549             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


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.

<PAGE>


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 PreferredPLUS Trust
                  Certificates Series NAI-1 on June 1, 2006.

                           For information with respect to the underlying
                  securities held by PreferredPLUS Trust Series NAI-1, please
                  refer to The News Corporation's (Commission file number
                  001-32352) 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, the guarantee, the
                  underlying securities issuer or the underlying securities
                  guarantor 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 or any underlying
                  securities guarantor (including, without limitation, no
                  investigation as to their respective financial condition or
                  creditworthiness) or of the underlying securities or the
                  guarantee has been made. You should obtain and evaluate the
                  same information concerning the underlying securities issuer
                  and each underlying securities guarantor as you would obtain
                  and evaluate if you were investing directly in the underlying
                  securities or in other securities issued by the underlying
                  securities issuer or each underlying securities guarantor.
                  There can be no assurance that events affecting the underlying
                  securities, the guarantee, the underlying securities issuer or
                  the underlying securities guarantor 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 June 1, 2006
                           distribution to holders of the PreferredPLUS Trust
                           Certificates Series NAI-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: June 20, 2006                 By:    /s/ Zvi Gillon
                                           -------------------------------------
                                    Name:  Zvi Gillon
                                    Title: President


<PAGE>


                                  EXHIBIT INDEX


99.1     Trustee's report in respect of the June 1, 2006 distribution to holders
         of the PreferredPLUS Trust Certificates Series NAI-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): June 1, 2006

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

              DELAWARE             001-16549             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

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 PreferredPLUS Trust
                  Certificates Series NAI-1 on June 1, 2006.

                           For information with respect to the underlying
                  securities held by PreferredPLUS Trust Series NAI-1, please
                  refer to The News Corporation's (Commission file number
                  001-32352) 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, the guarantee, the
                  underlying securities issuer or the underlying securities
                  guarantor 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 or any underlying
                  securities guarantor (including, without limitation, no
                  investigation as to their respective financial condition or
                  creditworthiness) or of the underlying securities or the
                  guarantee has been made. You should obtain and evaluate the
                  same information concerning the underlying securities issuer
                  and each underlying securities guarantor as you would obtain
                  and evaluate if you were investing directly in the underlying
                  securities or in other securities issued by the underlying
                  securities issuer or each underlying securities guarantor.
                  There can be no assurance that events affecting the underlying
                  securities, the guarantee, the underlying securities issuer or
                  the underlying securities guarantor 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 June 1, 2006
                           distribution to holders of the PreferredPLUS Trust
                           Certificates Series NAI-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: June 20, 2006                 By:    /s/ Zvi Gillon
                                           -------------------------------------
                                    Name:  Zvi Gillon
                                    Title: President
EXHIBIT INDEX

99.1     Trustee's report in respect of the June 1, 2006 distribution to holders
         of the PreferredPLUS Trust Certificates Series NAI-1.