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                       SECURITIES AND EXCHANGE COMMISSION
                             WASHINGTON, D.C. 20549

                              --------------------

                                   FORM 10-K

                                 ANNUAL REPORT

                       Pursuant to Section 13 or 15(d) of
                       The Securities Exchange Act of 1934

                              --------------------

      For the fiscal year ended:                Commission file number:
           December 31, 2005                           001-16549


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


              DELAWARE                              13-3891329
           (State or other                      (I. R. S. Employer
           jurisdiction of                      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

Securities registered pursuant to Section 12(b) of the Act:

PreferredPLUS Trust Certificates Series NAI-1, listed on The New York Stock
Exchange

Securities registered pursuant to Section 12(g) of the Act:

Not Applicable.


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Indicate by check mark if the registrant is a well-known seasoned issuer, as
defined in Rule 405 of the Securities Act.

                           Yes [ ]             No [X]

Indicate by check mark if the registrant is not required to file reports
pursuant to Section 13 or Section 15(d) of the Act.

                           Yes [ ]             No [X]

Indicate by check mark whether the Registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
Registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days.

                           Yes [X]             No [ ]

Indicate by check mark if disclosure of delinquent filers pursuant to Item 405
of Regulation S-K is not contained herein, and will not be contained, to the
best of registrant's knowledge, in definitive proxy or information statements
incorporated by reference in Part III of this Form 10-K or any amendment to
this Form 10-K.

                                      [ ]

Indicate by check mark whether the registrant is an accelerated filer (as
defined in Rule 12b-2 of the Act).

                           Yes [ ]             No [X]

Indicate by check mark whether the registrant is a shell company (as defined in
Rule 12b-2 of the Exchange Act).

                           Yes [ ]             No [X]

State the aggregate market value of the voting and non-voting common equity
held by non-affiliates computed by reference to the price at which the common
equity was last sold, or the average bid and asked price of such common equity,
as of the last business day of the registrant's most recently completed second
fiscal quarter.

Not Applicable.

Indicate the number of shares outstanding for each of the registrant's classes
of common stock, as of the latest practicable date.

Not Applicable.

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                       DOCUMENTS INCORPORATED BY REFERENCE

None.

       PART I

       ITEM 1.   BUSINESS

                 For information with respect to the underlying securities held
                 by PreferredPLUS Trust Series NAI-1, please refer to The News
                 Corporation Limited's (Commission file number 001-09141)
                 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, N.E., 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, N.E., 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 and the underlying securities
                 guarantor have filed electronically with the SEC.

                 Although we have no reason to believe the information
                 concerning the guarantee and underlying securities or the
                 underlying securities guarantor and the underlying securities
                 issuer contained in the underlying securities guarantor'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 guarantor and underlying securities
                 issuer (including, without limitation, no investigation as to
                 their respective financial condition or creditworthiness) or of
                 the underlying securities and guarantee has been made. You
                 should obtain and evaluate the same information concerning the
                 underlying securities issuer and the underlying securities
                 guarantor 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 or the
                 underlying securities guarantor. There can be no assurance that
                 events affecting the underlying securities and guarantee or the
                 underlying securities issuer and 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.

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       ITEM 1A.  RISK FACTORS

                 Your investment in the trust certificates will involve certain
                 risks. You should carefully consider the following discussion
                 of risks, and the other information included or incorporated by
                 reference in the applicable prospectus supplement and the
                 accompanying prospectus. You should also carefully consider any
                 risk factors and other information that the underlying
                 securities guarantor may file in its Exchange Act reports as
                 referenced in Item 1 above.

                 IF THE UNDERLYING SECURITIES ARE REDEEMED PRIOR TO THEIR
                 MATURITY DATE OR IF ANY CALL WARRANT HOLDER EXERCISES ITS
                 OPTIONAL CALL RIGHT, YOU MAY NOT BE ABLE TO REINVEST YOUR
                 REDEMPTION OR CALL PROCEEDS AT A YIELD COMPARABLE TO THE YIELD
                 YOU WOULD HAVE RECEIVED ON YOUR TRUST CERTIFICATES

                 The yield you will realize on your trust certificates depends
                 upon several factors, including:

                 o   the purchase price of the trust certificates,

                 o   when you acquire your trust certificates,

                 o   whether the underlying securities issuer exercises its
                     option to redeem the underlying securities,

                 o   whether, if certain change of control events occur with
                     respect to News Corporation, the trustee will tender the
                     trust's underlying securities for repurchase and redeem
                     your trust certificates, and

                 o   whether the call warrant holders exercise their optional
                     rights to purchase outstanding trust certificates.

                 The underlying securities issuer will have the right, if
                 certain conditions are met, to redeem the underlying
                 securities. Because the underlying securities issuer has the
                 right to redeem the underlying securities early, we cannot
                 assure you that the trust will be able to hold the underlying
                 securities until their maturity date.

                 Although the call warrant holders are not obligated to exercise
                 the call warrants, the yield you will realize on your trust
                 certificates also depends on whether the call warrant holders
                 exercise their call warrants to purchase the trust
                 certificates. Prevailing interest rates at the time of an early
                 redemption or a call exercise may be lower than the yield on
                 your trust certificates. Therefore, you may be unable to
                 realize a comparable yield upon reinvesting the funds you
                 receive from an early redemption or exercise of any call
                 warrants. In addition, if the prevailing market value of the
                 trust certificates exceeds the redemption price or call
                 exercise price paid to you upon a redemption of the underlying
                 securities or the exercise of a call, you will not be able to
                 realize such excess.

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                 YOU MAY NOT BE PAID IF THE ASSETS OF THE TRUST ARE INSUFFICIENT

                 Currently, the trust has no significant assets other than the
                 underlying securities. If the underlying securities are
                 insufficient to make payments or distributions on the trust
                 certificates, no other assets will be available for payment of
                 the deficiency.

                 THE TRUSTEE WILL NOT MANAGE THE UNDERLYING SECURITIES

                 Except as described below, the trust will not dispose of any
                 underlying securities, even if an event occurs that adversely
                 affects the value of the underlying securities or that
                 adversely affects the underlying securities guarantors or the
                 underlying securities issuer. As provided in the applicable
                 trust agreement, the trust will dispose of the underlying
                 securities only if:

                 o   there is a payment default on any underlying securities,

                 o   there is another type of default that accelerates the
                     maturity of the underlying securities, or

                 o   News Corporation, which is one of the underlying securities
                     guarantors, ceases to file Exchange Act reports.

                 Under the first circumstance listed above, the trustee must
                 sell the underlying securities on behalf of the trust, even if
                 adverse market conditions exist. The trustee has no discretion
                 to do otherwise. If adverse market conditions do exist at the
                 time of the trustee's sale of the underlying securities, you
                 may incur greater losses than if the trust continued to hold
                 the underlying securities.

                 THE TRUST CERTIFICATES ARE SUBJECT TO THE CREDITWORTHINESS OF
                 THE UNDERLYING SECURITIES ISSUER AND THE UNDERLYING SECURITIES
                 GUARANTORS

                 The trust certificates represent interests in obligations of
                 the underlying securities issuer and the underlying securities
                 guarantors. In particular, the trust certificates will be
                 subject to all the risks associated with directly investing in
                 the underlying securities guarantors' and the underlying
                 securities issuer's unsecured subordinated debt obligations.
                 Neither the underlying indenture nor the underlying securities
                 place a limitation on the amount of indebtedness that may be
                 incurred by the underlying securities guarantors.

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                 THE PAYMENTS OWED TO THE TRUST CERTIFICATEHOLDERS ARE UNSECURED
                 OBLIGATIONS

                 In a liquidation, holders of the underlying securities,
                 including the trust, will be paid only after holders of secured
                 obligations of the underlying securities issuer. According to
                 the underlying securities prospectus, the underlying securities
                 are general unsecured obligations of the underlying securities
                 issuer, which rank on a parity with all other unsecured senior
                 indebtedness of the underlying securities issuer. However, if
                 the underlying securities issuer subjects any of its property
                 to a lien then the underlying securities, and any other
                 obligations which are then outstanding and subject to a similar
                 covenant, will be secured ratably with the indebtedness or
                 obligation secured by that lien and for the same length of
                 time, subject to certain exceptions.

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                 THE UNDERLYING SECURITIES GUARANTORS' OBLIGATIONS UNDER THE
                 GUARANTEE COULD BE FOUND TO BE SUBORDINATE TO THE UNDERLYING
                 SECURITIES GUARANTORS' DIRECT OBLIGATIONS

                 The obligations of the underlying securities guarantors under
                 the underlying guarantee constitute senior indebtedness of each
                 of the underlying securities guarantors and are intended to
                 rank equally with all present and future senior indebtedness of
                 the underlying securities guarantors, including News
                 Corporation. Because the factual bases underlying various
                 obligations of the underlying securities guarantors and the
                 underlying securities issuer differ, it is possible in certain
                 circumstances that a court could hold obligations of an
                 underlying securities guarantor under the underlying guarantee
                 subordinate to direct obligations of such guarantor. The
                 obligations of the underlying securities guarantors will be
                 senior to common and preferred equity of the underlying
                 securities guarantors.

                 Pursuant to the underlying guarantee, the underlying securities
                 guarantors have guaranteed to the underlying securities
                 holders:

                 o   the due and punctual payment of the principal of, premium,
                     if any, and interest on the underlying securities
                     (including interest accruing on or after filing of any
                     petition in bankruptcy or reorganization whether or not a
                     claim for post-filing interest is allowed in such
                     proceeding), when and as the same shall become due and
                     payable, whether at maturity, as a result of redemption,
                     upon a Change of Control Triggering Event (as defined in
                     the applicable prospectus supplement), by acceleration or
                     otherwise,

                 o   the due and punctual payment of interest on overdue
                     principal of, premium and interest, if any, on the
                     underlying securities,

                 o   the due and punctual performance of all other obligations
                     under the underlying indenture to the underlying securities
                     holders or the underlying securities trustee in accordance
                     with the terms of the underlying securities and of the
                     underlying indenture, and

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                 o   in the case of any extension of time of payment or renewal
                     of any underlying securities or any of such other
                     obligations, that the same will be promptly paid in full
                     when due or performed in accordance with the terms of the
                     extension or renewal, at stated maturity, at redemption, by
                     acceleration or otherwise, to be paid by the underlying
                     securities guarantors or through the other guarantors as
                     provided in the underlying indenture.

                 The underlying securities guarantors' obligation to make
                 payments under the underlying guarantee may be satisfied by
                 direct payment of the required amounts by the underlying
                 securities guarantors to the holders of the underlying
                 securities or by causing the underlying securities issuer to
                 pay such amounts to such holders. However, the underlying
                 securities trustee cannot demand the payment from the
                 underlying securities guarantors prior to 48 hours after a
                 demand upon the underlying securities issuer.

                 THE RATINGS OF THE TRUST CERTIFICATES MAY CHANGE

                 At the time of issuance, Moody's and/or S&P assigned ratings to
                 the trust certificates equivalent to the ratings of the
                 underlying securities as of the date of the applicable
                 prospectus supplement.

                 Any rating issued with respect to the trust certificates is not
                 a recommendation to purchase, sell or hold a security. Ratings
                 do not comment on the market price of the trust certificates or
                 their suitability for a particular investor. We cannot assure
                 you that initial ratings will remain for any given period of
                 time or that a ratings agency would not revise or withdraw
                 entirely the ratings if, in its judgment, circumstances
                 (including, without limitation, the rating of the underlying
                 securities) merit. A revision or withdrawal of a rating may
                 adversely affect the market price of the trust certificates.

Item 1B.         UNRESOLVED STAFF COMMENTS

                 Not Applicable.

ITEM 2.          PROPERTIES

                 None.

ITEM 3.          LEGAL PROCEEDINGS

                 None.

ITEM 4.          SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS

                 None.

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PART II

ITEM 5.          MARKET FOR REGISTRANT'S COMMON EQUITY, RELATED STOCKHOLDER
                 MATTERS AND ISSUER PURCHASES OF EQUITY SECURITIES

                 The Trust Certificates issued by PreferredPLUS Trust Series
                 NAI-1 are represented by one or more physical certificates
                 registered in the name of Cede & Co., the nominee of the
                 Depository Trust Company. The Trust Certificates are listed on
                 the New York Stock Exchange.

ITEM 6.          SELECTED FINANCIAL DATA

                 Not Applicable.

ITEM 7.          MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND
                 RESULTS OF OPERATIONS

                 Not Applicable.

ITEM 7A.         QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

                 Not Applicable.

ITEM 8.          FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA

                 Not Applicable.

ITEM 9.          CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND
                 FINANCIAL DISCLOSURE

                 None.

ITEM 9A.         CONTROLS AND PROCEDURES

                 The Registrant has procedures so as to provide reasonable
                 assurance that its future Exchange Act filings will be filed
                 within the applicable time periods.

ITEM 9B.         OTHER INFORMATION

                 None.

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PART III

ITEM 10.         DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT

                 Not Applicable.

ITEM 11.         EXECUTIVE COMPENSATION

                 Not Applicable.

ITEM 12.         SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT
                 AND RELATED STOCKHOLDER MATTERS

                 (a) Securities Authorized For Issuance Under Equity
                     Compensation Plans: None.

                 (b) Security Ownership Of Certain Beneficial Owners: None.

                 (c) Security Ownership Of Management: Not Applicable.

                 (d) Changes In Control: None.

ITEM 13.         CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS

                 None.

ITEM 14.         PRINCIPAL ACCOUNTING FEES AND SERVICES

                 Not Applicable.

PART IV

ITEM 15.         EXHIBITS, FINANCIAL STATEMENT SCHEDULES

                 (a)(1)  Financial Statements: Not Applicable.

                 (a)(2)  Financial Statement Schedules: Not Applicable.

                 (a)(3)  List of Exhibits

                 The following exhibits are filed as part of, and incorporated
                 by reference into, this Annual Report on Form 10-K:

                 31.1   Certification of President of Registrant dated March 27,
                        2006, pursuant to Rules 13a-14 and 15d-14 under the
                        Securities Exchange Act of 1934, as adopted pursuant to
                        Section 302 of the Sarbanes-Oxley Act of 2002, with
                        respect to the Registrant's Annual Report on Form 10-K
                        for the year ended December 31, 2005.

                                        9

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                 99.1.   Trustee's Annual Compliance Certificate dated
                         February 21, 2006.

                 99.2.   Report of Deloitte & Touche LLP, Independent
                         Registered Public Accounting Firm, dated
                         March 24, 2006, Registrant's Assertion on Compliance
                         with PPLUS Minimum Servicing Standards dated
                         March 24, 2006 and PPLUS Minimum Servicing Standards.

                 99.3.   Report of Ernst & Young LLP, Independent Registered
                         Public Accounting Firm, dated February 21, 2006, and
                         The Bank of New York's Assertion on Compliance
                         with PPLUS Minimum Servicing Standards dated
                         February 21, 2006 and PPLUS Minimum Servicing
                         Standards.

             (b) Exhibits

                 The Registrant hereby files as part of this Annual Report on
                 Form 10-K the exhibits listed in Item 15(a)(3) set forth above.

             (c) Financial Statement Schedules

                 Not applicable.

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                                   SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) 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: March 27, 2006                     By: /s/ Stephan Kuppenheimer
                                            -----------------------------------
                                                Name:  Stephan Kuppenheimer
                                                Title: President.