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                       SECURITIES AND EXCHANGE COMMISSION
                             WASHINGTON, D.C. 20549

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                                    FORM 10-K

                                  ANNUAL REPORT

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

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           For the fiscal year ended:           Commission file number:
               December 31, 2005                      001-32285


                          MERRILL LYNCH DEPOSITOR, INC.
                     (ON BEHALF OF PPLUS TRUST SERIES LMG-3)
             (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)


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    Registrant's telephone number, including area code: (212) 449-1000

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

PPLUS Trust Certificates Series LMG-3 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 PPLUS Trust Series LMG-3, please refer to Liberty Media
                 Corp'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, 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 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.

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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.

                 IF ANY CALL WARRANTS ARE EXERCISED PRIOR TO THE STATED MATURITY
                 DATE, YOU MAY NOT BE ABLE TO REINVEST YOUR 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, and

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

                 Although the call warrant holders are not obligated to exercise
                 the call warrants, the yield you will realize on your trust
                 certificates depends on whether the call warrant holders
                 exercise their call warrants to purchase the trust
                 certificates.

                 Prevailing interest rates at the time of 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 the exercise of any call warrants.
                 In addition, if the prevailing market value of the trust
                 certificates exceeds the call exercise price paid to you upon
                 the exercise of a call, you will not be able to realize such
                 excess.

                 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 underlying securities issuer is organized
                 as a holding company that owns subsidiary companies. According
                 to the underlying securities prospectus, the underlying
                 securities issuer derives its operating income and cash flow
                 primarily from its subsidiaries and investments which poses two
                 principal risks:

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                 o   The underlying securities issuer's right to participate as
                     an equity holder in any distribution of assets of any of
                     its subsidiaries upon the subsidiary's liquidation of
                     otherwise, and thus the ability of its security holders,
                     including the trust, to benefit from the distribution, will
                     be subject to prior claims of the subsidiary's creditors,
                     except to the extent that any claims the underlying
                     securities issuer may have as a creditor of the subsidiary
                     are recognized, and

                 o   The underlying securities issuer's ability to service its
                     indebtedness and other obligations is dependent primarily
                     upon the earnings and cash flow of its subsidiaries and the
                     distribution or other payment to it of such earnings and
                     cash flow.

                 YOU MAY NOT RECOVER THE WHOLE OF THE PRESENT VALUE OR STATED
                 AMOUNT (IF APPLICABLE) OF YOUR TRUST CERTIFICATES IF THE TRUST
                 DISPOSES OF THE UNDERLYING SECURITIES ON A DEFAULT BY THE
                 UNDERLYING SECURITIES ISSUER OR IN THE EVENT THE UNDERLYING
                 SECURITIES ISSUER CEASES FILING EXCHANGE ACT REPORTS

                 If the underlying securities issuer defaults on its obligations
                 under the underlying securities or the underlying securities
                 issuer ceases to file Exchange Act reports, then the trust will
                 either distribute the underlying securities to the trust
                 certificateholders or dispose of them and distribute the
                 proceeds to the trust certificateholders. Your recovery in
                 either of those events may be limited by two factors:

                 o   if a default occurs, the market value of the underlying
                     securities may be adversely affected and the proceeds of
                     their disposition may be lower than the aggregate or
                     present value or stated amount (if applicable) of the trust
                     certificates; and

                 o   in either event, any distribution of funds or underlying
                     securities by the trust to the trust certificateholders
                     will be done in accordance with the allocation ratio as
                     described in the applicable prospectus supplement relating
                     to the trust certificates. The funds or aggregate principal
                     amount of underlying securities you receive on that
                     distribution may be less than the present value or stated
                     amount (if applicable) of your trust certificates.

                 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 issuer. As provided
                 in the applicable trust agreement, the trust will dispose of
                 the underlying securities only if

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                 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   the underlying securities issuer 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

                 The trust certificates represent interests in obligations of
                 the underlying securities issuer. In particular, the trust
                 certificates will be subject to all the risks associated with
                 directly investing in the underlying securities issuer's
                 unsecured unsubordinated 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 issuer.

                 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.

                 THE RATINGS OF THE TRUST CERTIFICATES MAY CHANGE

                 At the time of issuance, Moody's and 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.

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                 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 these 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.

                 If the underlying securities issuer's credit rating is
                 downgraded, your trust certificates may become less liquid and
                 subject to increased price volatility. If the underlying
                 securities were downgraded, the trust certificates would be
                 similarly downgraded. The market value of the underlying
                 securities would be expected to decrease in the event of a
                 downgrade. As a result, a downgrade could result in the market
                 price of the trust certificates becoming increasingly volatile
                 as the value of the underlying security changes. Also, if the
                 trust certificates are downgraded to below investment grade
                 status, and enter what is commonly called junk status, the
                 trust certificates could become less liquid.

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.

PART II

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

                 The Trust Certificates issued by PPLUS Trust Series LMG-3 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.


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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.

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.

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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.

                     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, 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






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