ANNUAL REPORT

 UNITED
STATES

SECURITIES AND EXCHANGE COMMISSION

 WASHINGTON,
D.C. 20549

 FORM

 Annual Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

 Transition 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,
 2024

 001-31941

 MERRILL
LYNCH DEPOSITOR, INC.

 (ON
BEHALF OF INDEXPLUS TRUST SERIES 2003-1)

 (Exact
name of registrant as specified in its charter)

 DELAWARE

 13-3891329

 (State or other jurisdiction of

incorporation)

 (I. R. S. Employer

 Identification No.)

 ONE
 BRYANT PARK, 4th FL

 NEW YORK, NEW YORK

 10036

 (Address of principal executive offices)

 (Zip Code)

 Registrant's
telephone number, including area code: (646) 855-6745

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

 INDEXPLUS
Trust Certificates Series 2003-1, listed on The New York Stock Exchange American. Trading Symbol: IPB

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

 Not

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

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

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
No

by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant
to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that
the registrant was required to submit such files).

by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting
company or an emerging growth company. See the definitions of "large accelerated filer," "accelerated filer,"
"smaller reporting company" and "emerging growth company" in Rule 12b-2 of the Exchange Act.

 Large
accelerated filer Accelerated filer Non-accelerated filer
 Smaller reporting company Emerging growth company

 If
an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for
complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.

by check mark whether the registrant has filed a report on and attestation to its management's assessment of the effectiveness
of its internal control over financial reporting under Section 404(b) of the Sarbanes-Oxley Act (15 U.S.C.7262(b)) by the registered
public accounting firm that prepared or issued its audit report.

 If securities are registered pursuant to Section 12(b) of the Act, indicate by check mark whether the financial statements of the registrant
included in the filing reflect the correction of an error to previously issued financial statements.

 Indicate by check mark whether any of those error corrections are restatements that required a recovery analysis of incentive-based compensation
received by any of the registrant's executive officers during the relevant recovery period pursuant to §240.10D-1(b).

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

 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

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

 Not

 DOCUMENTS
INCORPORATED BY REFERENCE

 For
information with respect to the underlying securities held by INDEXPLUS Trust Series 2003-1, please refer to respective 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 of: The Boeing Company (Commission file number 001-00442); Citigroup Inc. (Commission file number 001-09924); Credit
Suisse Group AG (Commission file number 333-272452-02) (condensed consolidated financial statements with respect to guarantor Credit
Suisse Group AG and issuer Credit Suisse (USA) of the underlying securities) and guarantor UBS Group AG (Commission file number
333-272452); Ford Motor Company (Commission file number 001-03950); Ally Financial Inc. (Commission file number 001-03754); General
Motors Acceptance Corporation (Commission file number 001-06461); The Goldman Sachs Group, Inc. (Commission file number 001-14965);
Johnson & Johnson (Commission file number 001-03215); Macy's Retail Holdings LLC (formerly known as Macy's Retail
Holdings, Inc. and the May Department Stores Company) (Commission file number 333-42940); Macy's, Inc. (Commission file number
001-13536); Warner Media, LLC (formerly known as Time Warner LLC and Time Warner Inc.) (Commission file number 001-15062); Time
Warner Companies, Inc. (Commission file number 001-08637); Turner Broadcasting System, Inc. (Commission file number 001-08911);
United States Department of Treasury; Valero Energy Corporation (Commission file number 001-13175); Verizon Communications Inc.
(Commission file number 001-08606); Paramount Global (formerly known as ViacomCBS Inc. and CBS Corporation) (Commission file number
001-09553); and Weyerhaeuser Company (Commission file number 001-04825) 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  which contains reports, proxy and information
statements and other information that the respective underlying securities issuers have filed electronically with the SEC. The
underlying securities issuer DaimlerChrysler North America Holding Corp. (now known as Daimler Finance North America LLC) and the
guarantor, Daimler AG, no longer file periodic Exchange Act reports. Unless and until the underlying securities comprise 10% of the
assets held by the trust, the trust is not required to liquidate its holdings of the asset. If such circumstances were to occur,
such as an increase in concentration of DaimlerChrysler assets to at least 10% of total trust assets, the asset would have to be
liquidated.

 Although
we have no reason to believe the information concerning the respective underlying securities or the respective underlying securities
issuers contained in the underlying securities issuer's Exchange Act reports are 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 respective underlying securities issuers (including, without limitation,
no investigation as to their respective financial condition or creditworthiness) or of the respective underlying securities has
been made. You should obtain and evaluate the same information concerning the respective underlying securities issuers as you
would obtain and evaluate if your investment were directly in the respective underlying securities or in other securities issued
by the respective underlying securities issuers. There can be no assurance that events affecting the respective underlying securities
or the respective underlying securities issuers have not occurred or have not yet been publicly disclosed which would affect the
accuracy or completeness of the publicly available documents described above.

 TABLE
OF CONTENTS

 ITEM 1. BUSINESS

 ITEM 1A. RISK FACTORS

 ITEM 1B. UNRESOLVED STAFF COMMENTS

 ITEM 1C. CYBERSECURITY

 ITEM 2. PROPERTIES

 ITEM 3. LEGAL PROCEEDINGS

 ITEM 4. MINE SAFETY DISCLOSURES

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

 ITEM 6. [RESERVED]

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

 ITEM 7A. QUANTITATIVE AND QUALITATIVE DISCLOSURES
 ABOUT MARKET RISK

 ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY
 DATA

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

 ITEM 9A. CONTROLS AND PROCEDURES

 ITEM 9B. OTHER INFORMATION

 ITEM 9C. DISCLOSURE REGARDING FOREIGN JURISDICTIONS
 THAT PREVENT INSPECTIONS

 ITEM 10. DIRECTORS, EXECUTIVE OFFICERS AND CORPORATE
 GOVERNANCE

 ITEM 11. EXECUTIVE COMPENSATION

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

 ITEM 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS,
 AND DIRECTOR INDEPENDENCE

 ITEM 14. PRINCIPAL ACCOUNTING FEES AND SERVICES

 ITEM 15. EXHIBITS, FINANCIAL STATEMENT SCHEDULES

 SIGNATURES

 Ex-19: INSIDER TRADING POLICY

 EX-31.1: CERTIFICATION

 EX-97: POLICY RELATING TO RECOVERY OF ERRONEOUSLY AWARDED COMPENSATION

 EX-99.1: TRUSTEE'S ANNUAL COMPLIANCE CERTIFICATE

 EX-99.2: REPORT OF PRICEWATERHOUSECOOPERS LLP

 EX-99.3: REPORT OF KPMG LLP

 PART
I

 ITEM
1. BUSINESS

 Not

 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 issuer may file in its
Exchange Act reports as referenced in the "Documents Incorporated by Reference" section above.

 IF
THE TRUST CERTIFICATES OR ANY OF THE UNDERLYING SECURITIES ARE REDEEMED PRIOR TO THEIR MATURITY DATE, YOU MAY NOT BE ABLE TO REINVEST
YOUR REDEMPTION 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:

 •

 the purchase price of the trust certificates,

 •

 when you acquire your trust certificates,

 •

 whether an underlying securities issuer exercises
 an option to redeem underlying securities, and

 •

 whether the trust redeems the trust certificates
 prior to the final scheduled distribution date.

 The
description of the underlying securities in the applicable prospectus supplement indicates which of the underlying securities
can be redeemed prior to maturity at the option of the associated underlying securities issuer. Because the indicated underlying
securities issuers have the right to redeem the indicated underlying securities early, we cannot assure you that the trust will
be able to hold those underlying securities until their maturity date.

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

 Distributions
on the trust certificates will be made only from available assets of the trust. The trust will have no significant assets other
than the portfolio of underlying securities. The trust certificates are not obligations of and do not represent any interests
in the underwriter, the depositor, the trustee, the market agent, the calculation agent or any of their affiliates. Neither we
nor the underwriter, the trustee, the market agent, the calculation agent or any other person or entity will be obligated to make
any payments on the trust certificates from its own assets, and trust certificates holders will have no recourse against any of
them or their respective assets. If the payments received from the underlying securities are insufficient to make distributions
on the trust certificates, you may not receive all or part of the full amount due on your trust certificates.

 NEITHER
WE NOR THE TRUSTEE, THE UNDERWRITER, THE MARKET AGENT, THE CALCULATION AGENT NOR ANY OF THEIR AFFILIATES WILL MANAGE THE UNDERLYING
SECURITIES

 Except
as described below, the trust will not dispose of any of the underlying securities, even if an event occurs that adversely affects
any underlying securities issuer and/or the value of any or all of the underlying securities. Under the applicable trust agreement,
the trust will dispose of an underlying security only if:

 •

 there is a credit event on an underlying security
 or an underlying securities issuer,

 •

 there is a non-payment-related default that
 accelerates the maturity of an underlying security, or

 •

 in the case of an underlying securities issuer
 that is obliged to file Exchange Act reports, the relevant underlying securities issuer ceases to file Exchange Act reports
 and the related underlying securities comprise 10% or more of the assets of the trust.

 Under
the above circumstances, the trustee must retain a market agent who will sell the defaulted underlying security on or after the
30th day after receipt of notice of the default in accordance with the sale procedures described in the applicable prospectus
supplement and distribute the net proceeds from such sale to the holders of the trust certificates pro rata even if adverse market
conditions exist. Neither the trustee nor the market agent has discretion to do otherwise. If adverse market conditions exist
at the time of the sale of the underlying securities, you may incur greater losses than if the trust continued to hold the underlying
securities and sold them at a later date.

 THE
VALUE OF THE TRUST CERTIFICATES DEPENDS UPON THE CREDITWORTHINESS OF THE UNDERLYING SECURITIES ISSUERS AND THE MARKET PRICES OF
THE UNDERLYING SECURITIES

 The
trust certificates represent interests in obligations of the underlying securities issuers and will be subject to all the risks
associated with directly investing in each underlying securities issuer's debt obligations. The underlying indenture and
the terms and conditions governing each underlying security may not limit the amount of indebtedness that may be incurred by the
relevant underlying securities issuer. In addition, an investment in the trust certificates represents an investment in the underlying
securities and most of the underlying securities are not listed on any securities exchange. The underlying securities are generally
purchased and sold through dealers who make a market in such securities for their own accounts, and there may be significant disparities
in the prices quoted for any of the underlying securities by securities dealers at any point in time. Therefore, the market for
any of the underlying securities is less liquid than the market for securities which are traded through a securities exchange
and the aggregate market value of a comparable amount of the underlying securities may be higher than the market price of the
trust certificates. You should consider the nature of each underlying security and the credit risk of each underlying securities
issuer before making an investment decision regarding the trust certificates.

 THE
TRUST CERTIFICATEHOLDERS MAY SUFFER A LOSS UPON THE OCCURRENCE OF A REMOVAL EVENT

 Should
a removal event, as described in the applicable prospectus supplement, occur with respect to an underlying security, the trustee
on behalf of the trust will instruct the market agent to sell such underlying security and distribute the net proceeds of the
sale of such underlying security to the trust certificateholders. In such case, the certificate principal balance of the trust
certificates will be reduced by the principal amount of the underlying security subject to such removal event. If the amount distributable
to the trust certificateholders from the proceeds of the sale of the underlying securities subject to the removal event is less
than the principal amount of such underlying securities plus any accrued and unpaid interest thereof the trust certificateholders
will suffer a loss. Additionally, if less than all of such underlying securities are sold and the applicable underlying securities
issuer defaults on payments due on such unsold underlying securities, the trust certificateholders will suffer a loss. The trust
certificateholders will also bear the risk of reinvestment resulting from the reduction in the certificate principal balance of
the trust certificates.

 THE
PASS-THROUGH RATE MAY BE REDUCED UPON PAYMENT OF PRINCIPAL ON OR THE OCCURRENCE OF A REMOVAL EVENT WITH RESPECT TO UNDERLYING
SECURITIES

 Because
the pass-through rate on the trust certificates will be determined in part by the weighted average interest rate of the underlying
securities, payments of principal on an underlying security or the occurrence of a removal event may cause the pass-through rate
to decrease depending upon the interest rate of such underlying security.

 AS
UNDERLYING SECURITIES ARE REMOVED FROM THE TRUST AT THEIR MATURITY, REDEMPTION OR SALE, THE POOL OF UNDERLYING SECURITIES WILL
BECOME LESS DIVERSIFIED AND YOUR EXPOSURE TO ECONOMIC FACTORS THAT DISPROPORTIONATELY AFFECT ONE OR MORE OF THE REMAINING UNDERLYING
SECURITIES WILL INCREASE

 As
underlying securities mature, underlying securities are redeemed or sold, or removal events occur, the pool of underlying securities
held by the trust will become less diversified. These events could increase your risk of loss resulting from the decline in one
or more of the economic factors disproportionately affecting any of the remaining underlying securities.

 PRINCIPAL
AND INTEREST PAYMENTS ON THE UNDERLYING SECURITIES ARE UNSECURED OBLIGATIONS OF THE UNDERLYING SECURITIES ISSUERS

 Distributions
on the trust certificates depend primarily on principal and interest payments on the underlying securities. Some of these payments
are unsecured obligations of the underlying securities issuers. In any proceedings involving the insolvency, liquidation or winding
up of an underlying securities issuer, holders of unsecured securities of that underlying issuer will be paid only after the holders
of that underlying securities issuer's secured obligations are paid in full. As a result, you may not recover the principal
amount of your trust certificates attributable to such underlying security.

 THE
RATINGS OF THE TRUST CERTIFICATES MAY CHANGE

 At
the time of issuance, Moody's and/or Fitch Ratings assigned ratings to the trust certificates on the original issue date
in one of the four highest categories assigned to long-term debt.

 Any
rating issued with respect to the trust certificates is not a recommendation to purchase, sell or hold a security. Ratings do
not reflect upon 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 any of the underlying securities) merit.
A revision or withdrawal of a rating may adversely affect the market price of the trust certificates.

 POTENTIAL
CONFLICTS OF INTERESTS MAY ARISE BETWEEN US, THE UNDERWRITER AND THE TRUST

 We,
BofA Securities, Inc. (formerly known as Bank of America Merrill Lynch, the successor-in-interest to Merrill Lynch, Pierce, Fenner
& Smith Incorporated), or one of its affiliates acquired the underlying securities comprising the trust's portfolio.
Potential conflicts of interests may arise as BofA Securities, Inc. and its affiliates may engage in investment banking or may
provide other services for some or all of the underlying securities issuers. In addition, BofA Securities, Inc. and its affiliates
may also own, make purchases or sales, including sales to the trust, establish long or short positions or engage in hedging activities
in some or all of the underlying securities for their own accounts. All such activities may result in conflicts of interests among
BofA Securities, Inc., its affiliates and the trust certificateholders.

 ITEM
1B. UNRESOLVED STAFF COMMENTS

 Not

 ITEM 1C. CYBERSECURITY

 Not

 ITEM
2. PROPERTIES

 None.

 ITEM
3. LEGAL PROCEEDINGS

 None.

 ITEM
4. MINE SAFETY DISCLOSURES

 Not Applicable.

 PART
II

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

 The
Trust Certificates issued by INDEXPLUS Trust Series 2003-1 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
American.

 ITEM
6. [RESERVED]

 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

 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.

 ITEM
9C. DISCLOSURE REGARDING FOREIGN JURISDICTIONS THAT PREVENT INSPECTIONS

 Not

 PART
III

 ITEM
10. DIRECTORS, EXECUTIVE OFFICERS AND CORPORATE GOVERNANCE

 Not

 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, AND DIRECTOR INDEPENDENCE

 None.

 ITEM
14. PRINCIPAL ACCOUNTANT FEES AND SERVICES

 Not

 PART
IV

 ITEM
15. EXHIBIT AND 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:

 4.1

 For
 a description of the securities of the INDEXPLUS Trust Series 2003-1, see Prospectus Supplement (To Prospectus dated October
 24, 2002) dated as of December 11, 2003 filed by the Depositor with the SEC on December 15, 2003 and incorporated here by
 reference.

 19.

 Insider Trading Policy

 31.1.

 Certification of the President of Registrant dated March 25, 2025, 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 fiscal year ended December 31, 2024.

 97.

 Policy Relating to Recovery of Erroneously Awarded Compensation.

 99.1.

 Trustee's Annual Compliance Certificate dated March 10, 2025.

 99.2.

 Report of PricewaterhouseCoopers LLP, Independent Accountants, dated March 3, 2025, Registrant's Assertion on Compliance with PPLUS Minimum Servicing Standards dated March 3, 2025 and PPLUS Minimum Servicing Standards.

 99.3.

 Report of KPMG LLP, Independent Accountants, dated February 21, 2025, The Bank of New York Mellon's Assertion on Compliance with PPLUS Minimum Servicing Standards dated February 21, 2025 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

 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, thereunto duly authorized.

 MERRILL LYNCH DEPOSITOR, INC.

 Date: March 25, 2025

 By:

 /s/
 Matthew J. Nelson

 Name:

 Matthew J. Nelson

 Title:

 President


ANNUAL REPORT

 UNITED
STATES

 SECURITIES
AND EXCHANGE COMMISSION

 WASHINGTON,
D.C. 20549

 FORM

 Annual Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

 Transition 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,
 2024

 001-32247

 MERRILL
LYNCH DEPOSITOR, INC.

 (ON
BEHALF OF PPLUS TRUST SERIES GSC-2)

 (Exact
name of registrant as specified in its charter)

 DELAWARE
 (State or other jurisdiction of

 incorporation)

 13-3891329
 (I. R. S. Employer

 Identification No.)

 ONE
 BRYANT PARK, 4th FL

 NEW YORK, NEW YORK
 (Address of principal executive offices)

 10036
 (Zip Code)

 Registrant's
telephone number, including area code: (646) 855-6745

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

 PPLUS
Trust Certificates Series GSC-2 listed on The New York Stock Exchange. Trading Symbol: PYT

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

 Not

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

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

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
No

by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant
to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that
the registrant was required to submit such files).

by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting
company or an emerging growth company. See the definitions of "large accelerated filer," "accelerated filer,"
"smaller reporting company" and "emerging growth company" in Rule 12b-2 of the Exchange Act.

 Large
accelerated filer Accelerated filer Non-accelerated filer
 Smaller reporting company Emerging growth company

 If
an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for
complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.

by check mark whether the registrant has filed a report on and attestation to its management's assessment of the effectiveness
of its internal control over financial reporting under Section 404(b) of the Sarbanes-Oxley Act (15 U.S.C.7262(b)) by the registered
public accounting firm that prepared or issued its audit report.

 If securities are registered pursuant to Section 12(b) of the Act, indicate by check mark whether the financial statements of the registrant
included in the filing reflect the correction of an error to previously issued financial statements.

 Indicate by check mark whether any of those error corrections are restatements that required a recovery analysis of incentive-based compensation
received by any of the registrant's executive officers during the relevant recovery period pursuant to §240.10D-1(b).

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

 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

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

 Not

 DOCUMENTS
INCORPORATED BY REFERENCE

 For
information with respect to the underlying securities held by PPLUS Trust Series GSC-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, N.E., Washington, D.C. 20549. You may obtain copies of this material for a fee by writing to the 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  which contains reports, proxy and information statements and other
information that the underlying securities guarantor and the underlying securities issuer have filed electronically with the SEC.

 Although
we have no reason to believe the information concerning the underlying securities and the junior subordinated debentures 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 the junior subordinated debentures 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 the junior subordinated debentures 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.

 TABLE
OF CONTENTS

 ITEM 1. BUSINESS

 ITEM 1A. RISK FACTORS

 ITEM 1B. UNRESOLVED STAFF COMMENTS

 ITEM 1C. CYBERSECURITY

 ITEM 2. PROPERTIES

 ITEM 3. LEGAL PROCEEDINGS

 ITEM 4. MINE SAFETY DISCLOSURES

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

 ITEM 6. [RESERVED]

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

 ITEM 7A. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

 ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA

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

 ITEM 9A. CONTROLS AND PROCEDURES

 ITEM 9B. OTHER INFORMATION

 ITEM 9C. DISCLOSURE REGARDING FOREIGN JURISDICTIONS THAT PREVENT INSPECTIONS

 ITEM 10. DIRECTORS, EXECUTIVE OFFICERS AND CORPORATE GOVERNANCE

 ITEM 11. EXECUTIVE COMPENSATION

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

 ITEM 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS, AND DIRECTOR INDEPENDENCE

 ITEM 14. PRINCIPAL ACCOUNTING FEES AND SERVICES

 ITEM 15. EXHIBITS, FINANCIAL STATEMENT SCHEDULES

 SIGNATURES

 Ex-19: INSIDER TRADING POLICY

 EX-31.1: CERTIFICATION

 EX-97: POLICY RELATING TO RECOVERY OF ERRONEOUSLY AWARDED COMPENSATION

 EX-99.1: TRUSTEE'S ANNUAL COMPLIANCE CERTIFICATE

 EX-99.2: REPORT OF PRICEWATERHOUSECOOPERS LLP

 EX-99.3: REPORT OF KPMG LLP

 PART
I

 ITEM
1. BUSINESS

 Not

 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 the "Documents Incorporated by Reference" section above.

 IF
THE UNDERLYING SECURITIES ARE REDEEMED PRIOR TO THE MATURITY DATE OF THE UNDERLYING SECURITIES OR IF ANY CALL WARRANTS ARE EXERCISED
PRIOR TO THE STATED MATURITY DATE, 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:

 •

 whether an early termination payment is payable
 by the trust to the swap counterparty,

 •

 the purchase price of trust certificates,

 •

 when you acquire your trust certificates,

 •

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

 •

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

 The
underlying securities issuer has the right to redeem the underlying securities in whole or in part at its option or in part if
it becomes obligated to pay additional amounts. 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 the maturity date of
the underlying securities.

 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 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 redemption of the underlying securities or the exercise of a call, you will not be able to realize
such excess.

 YOU
MAY SUFFER LOSSES AS A RESULT OF ANY SWAP EARLY TERMINATION PAYMENT UPON THE LIQUIDATION OF THE UNDERLYING SECURITIES

 In
the event the underlying securities are liquidated as a result of a default by the underlying securities issuer on its obligations
or the underlying securities issuer ceases to file Exchange Act reports, or upon an underlying securities bankruptcy event, trust
swap payment default or a trust regulatory event, you will not receive any distributions payable to you until after the payment
of the early termination payment (if any is then payable) to the swap counterparty. Unless the proceeds received from the liquidation
of the underlying securities are sufficient to pay any early termination payment plus the certificate principal balance and accrued
and unpaid interest then due on the trust certificates, you will suffer a loss as a result of such early termination payment and
such liquidation. This loss could be quite substantial in relation to the total value of your trust certificates.

 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, the underlying securities guarantee and the swap agreement.
If the underlying securities or payments made under the underlying securities guarantee and the swap agreement 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 conducts its business through subsidiaries. Accordingly, its ability to meet its obligations under
the underlying securities is dependent on the earnings and cash flows of those subsidiaries and the ability of those subsidiaries
to pay dividends or to advance or repay funds to the underlying securities issuer. In addition, the rights that the underlying
securities issuer and its creditors would have to participate in the assets of any such subsidiary upon the subsidiary's
liquidation or recapitalization will be subject to the prior claims of the subsidiary's creditors. Certain subsidiaries
of the underlying securities issuer have incurred substantial amounts of debt in the expansion of their businesses, and the underlying
securities issuer anticipates that certain of its subsidiaries will do so in the future.

 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 GUARANTOR
CEASES FILING EXCHANGE ACT REPORTS

 If
the underlying securities issuer defaults on its obligations under the underlying securities or the underlying securities guarantor
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 three factors:

 •

 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 present
 value or stated amount (if applicable) of the trust certificates;

 •

 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; and

 •

 any such distribution of funds will be subject
 to the payment by the trust to the swap counterparty of any early termination payment.

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

 •

 there is a payment default on any underlying
 securities,

 •

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

 •

 the underlying securities guarantor 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 GUARANTOR

 The
trust certificates represent interests in obligations of the underlying securities issuer and the underlying securities guarantor.
In particular, the trust certificates will be subject to all the risks associated with directly investing in both the underlying
securities issuer's and the underlying securities guarantor's unsecured subordinated debt obligations. None of the
underlying indenture, the underlying securities or the underlying securities guarantee places a limitation on the amount of indebtedness
that may be incurred by the underlying securities issuer or underlying securities guarantor.

 THE
TRUST'S RIGHT TO DIRECT ACTION AGAINST THE UNDERLYING SECURITIES GUARANTOR TO ENFORCE THE RIGHTS OF THE UNDERLYING SECURITIES
HOLDERS IS LIMITED

 If
a debenture event of default occurs and is continuing, then the holders of the underlying securities would rely on, and in certain
circumstances could cause, the trustee of the underlying securities issuer to enforce its rights as a holder of the underlying
securities and the underlying securities guarantee on behalf of the underlying securities issuer against the underlying securities
guarantor. In addition, any registered holder of underlying securities may institute a legal proceeding directly against the underlying
securities guarantor to enforce its rights against the underlying securities guarantor without first instituting any legal proceeding
against the underlying securities trustee or any other person or entity.

 THE
UNDERLYING SECURITIES GUARANTOR HAS THE ABILITY TO DEFER INTEREST PAYMENTS ON THE UNDERLYING SECURITIES

 The
underlying securities guarantor can, on one or more occasions, defer interest payments on the underlying securities for up to
10 consecutive semiannual interest periods, but not beyond the maturity date of the underlying securities. If the underlying securities
guarantor defers interest payments on the underlying securities, the underlying securities issuer will defer distributions on
the underlying securities. If the underlying securities issuer defers distributions on the underlying securities, the trust will
defer distributions on the trust certificates during any deferral period. No additional amounts will accrue on the trust certificates
or be owed to trust certificateholders as a result of any delay, but any additional amounts owed and paid by the underlying securities
issuer as a result of the delay will be paid to the trust certificateholders. Prior to the termination of any deferral period,
the underlying securities guarantor may further extend the deferment, but the total of all deferral periods must not exceed 10
consecutive semiannual interest periods or extend beyond the maturity date. Upon the termination of any deferral period and the
payment of all amounts then due, the underlying securities guarantor may commence a new deferral period, subject to the above
requirements.

 Because
the underlying securities guarantor has the right to defer interest payments, the market price of the underlying securities (which
represent an undivided beneficial interest in the underlying securities) may be more volatile than other similar securities where
the issuer does not have the right to defer interest payments.

 IF
THE UNDERLYING SECURITIES GUARANTOR EXERCISES ITS OPTION TO DEFER INTEREST PAYMENTS ON THE UNDERLYING SECURITIES, THE TRUST CERTIFICATEHOLDERS
MAY FACE ADVERSE TAX CONSEQUENCES

 Should
the underlying securities guarantor exercise its right to defer any payment of interest on the underlying securities, each underlying
securities holder will be required to accrue interest income (as original issue discount) in respect of the deferred stated interest
allocable to its share of the underlying securities for United States federal income tax purposes. As a result, a trust certificateholder,
as a beneficial owner of the underlying securities, would have to include this amount in gross income for United States federal
income tax purposes prior to the receipt of any cash distributions. In addition, the trust certificateholder would not receive
cash from the underlying security issuer related to this income if the trust certificateholder disposes of the trust certificates
prior to the record date on which distributions of these amounts are made. To the extent the selling price is less than the trust
certificateholder's adjusted tax basis (which will include, in the form of original issue discount all accrued but unpaid
interest), the trust certificateholder will recognize a capital loss. Subject to limited exceptions, capital losses cannot be
applied to offset ordinary income for United States federal income tax purposes.

 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 unsecured
and rank equally with all other unsecured and unsubordinated indebtedness of the underlying securities issuer.

 IF
THE SWAP AGREEMENT IS TERMINATED AS A RESULT OF A SWAP AGREEMENT TERMINATION EVENT WHICH IS NOT A TRUST TERMINATION EVENT, THEN
THE YIELD ON THE TRUST CERTIFICATES WILL BE CONVERTED FROM A FLOATING RATE TO A FIXED RATE AND DISTRIBUTIONS TO YOU WILL BE MADE
SEMIANNUALLY INSTEAD OF QUARTERLY

 The
ability of the trust to make quarterly payments on interest rate distributions on the trust certificates will be dependent on
the performance by the swap counterparty of its payment obligations under the swap agreement. If the swap agreement were to be
terminated as a result of a swap agreement termination event that is not also a trust termination event, then (i) the trust
will remain in existence without any rights or obligations under the swap agreement and (ii) you will receive a pro rata
share of the fixed rate interest payments received by the trust in respect of the underlying securities on a semiannual basis,
instead of a pro rata share of the floating rate payments under the swap agreement received by the trust on a quarterly basis.

 YOU
WILL NOT RECEIVE TIMELY DISTRIBUTION ON THE TRUST CERTIFICATES IF THE TRUST DOES NOT RECEIVE TIMELY DISTRIBUTION ON THE UNDERLYING
SECURITIES

 The
underlying issuer may defer the payment of interest on the junior subordinated debentures at any time and in each case for up
to 10 semiannual consecutive interest periods, provided that (i) no extension period may extend beyond the stated maturity
date of the junior subordinated debentures; and (ii) the underlying issuer is not in default under the subordinated debt
indenture governing the junior subordinated debentures. If there is a deferral, the underlying securities issuer also will defer
distributions on the underlying securities and the swap counterparty will not be obligated to make any payments to the trust pursuant
to the swap agreement. Before any extension period ends, the underlying issuer may elect to extend the period further. At the
end of any extension period and the payment of all interest then accrued and unpaid, the underlying issuer may elect to begin
a new extension period. There is no limitation on the number of extension periods. If the underlying securities issuer does not
pay amounts due under the underlying securities, as a result of a deferral, the swap counterparty is not obligated to make payments
to the trust, and the trust will not make any corresponding payments on the trust certificates.

 Should
the underlying issuer elected to exercise its right to defer payments of interest on the junior subordinated debentures in the
future, the market price of the underlying securities is likely to be adversely affected. In addition, merely as a result of the
existence of the underlying issuer's right to defer payments of interest on the junior subordinated debentures, the market
price of the underlying securities may be more volatile than the market prices of other securities that are not subject to such
deferrals.

 DISTRIBUTIONS
AND OTHER PAYMENTS WITH RESPECT TO YOUR TRUST CERTIFICATES AND YOUR EXPECTED INVESTMENT YIELD MAY BE AFFECTED BY FACTORS SUCH
AS THE PERFORMANCE OF THE TRUST ASSETS, THE REDEMPTION OF THE UNDERLYING SECURITIES AND THE EARLY TERMINATION OF THE SWAP AGREEMENT

 A
number of factors may affect the timing of distributions with respect to your trust certificates and the yield that you realize
on your trust certificates, including:

 •

 the purchase price you pay for your trust certificates;

 •

 the interest rate on the trust certificates,
 which will be greater than or equal to 3.00% and will not exceed 8.00%;

 •

 the performance of the underlying securities;

 •

 whether the underlying securities issuer redeems,
 repurchases or repays the underlying securities before their maturity;

 •

 whether the underlying security guarantor elects
 to defer interest payments on the underlying securities;

 •

 whether the underlying securities issuer defaults
 under the underlying securities;

 •

 the possibility that if there is a swap termination
 event that is not a trust termination event a fixed rate of 6.345% per annum will be payable on the trust certificates, instead
 of the floating rate distribution amount payable under the swap agreement;

 •

 the possibility that the swap agreement may
 be terminated early in certain circumstances, resulting in the termination of the trust prior to its scheduled termination
 date; and

 •

 whether the holder of the call options exercises
 its call options on your trust certificates.

 We
can not predict whether or when the call options will be exercised, whether the underlying securities will be redeemed, repaid,
repurchased or accelerated or whether interest on the underlying securities will be deferred. If the trust certificates are prepaid
or if the holder of the call options exercises its call options prior to the final distribution date, then the principal of your
trust certificates or the call price will be paid to the extent funds are received on the underlying securities or the holder
of the call options pays the call price and your investment in the trust certificates will have a shorter average maturity.

 UPON
A SWAP TERMINATION EVENT WHEREBY THE SWAP COUNTERPARTY IS THE DEFAULTING PARTY OR AFFECTED PARTY, YOU ARE NOT LIKELY TO RECEIVE
FROM THE SWAP COUNTERPARTY ANY INTEREST THAT HAS ACCRUED

 Upon
a swap termination event that is not a trust termination event whereby the swap counterparty is the defaulting party (especially
upon the bankruptcy, insolvency or reorganization of the swap counterparty), it is unlikely that you will receive from the swap
counterparty any interest that has accrued since the last quarterly payment of the interest distribution amount.

 IF
THE TRUST CERTIFICATES ARE PREPAID WHEN PREVAILING MARKET INTEREST RATES FOR SECURITIES OF A COMPARABLE CREDIT RATING ARE LOWER
THAN THE YIELD ON YOUR TRUST CERTIFICATES, YOU MAY BE UNABLE TO REALIZE A COMPARABLE YIELD WHEN YOU REINVEST THE FUNDS THAT YOU
RECEIVE FROM THE PREPAYMENT OF YOUR TRUST CERTIFICATES

 If
the trust certificates are prepaid when prevailing market interest rates for securities of a comparable credit rating are lower
than the yield on your trust certificates, you may be unable to realize a comparable yield when you reinvest the funds that you
receive from the prepayment of your trust certificates. The interest rate cap on the trust certificates may limit your interest
payments and may negatively impact the market value of your trust certificates.

 The
interest paid on the trust certificates is based on a floating rate that will not exceed 8.00%. If interest rates exceed 8.00%,
your trust certificates will not receive interest based on the higher interest rate but rather will be capped at 8.00%. Therefore,
the market value of your trust certificates will also be negatively affected as interest rates rise.

 THE
INTEREST RATE CAP ON THE TRUST CERTIFICATES MAY NEGATIVELY IMPACT THE MARKET VALUE OF YOUR TRUST CERTIFICATES

 The
interest paid on the trust certificates is based on a floating rate that will not exceed 8.00%. Therefore, the market value of
your trust certificates may be negatively affected as interest rates rise.

 THE
RATINGS OF THE TRUST CERTIFICATES MAY CHANGE

 At
the time of issuance, 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 the 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

 ITEM 1C. CYBERSECURITY

 Not

 ITEM
2. PROPERTIES

 None.

 ITEM
3. LEGAL PROCEEDINGS

 None.

 ITEM
4. MINE SAFETY DISCLOSURES

 Not

 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 GSC-2 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. [RESERVED]

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

 Not

 ITEM
7A. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

 Not

 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.

 ITEM
9C. DISCLOSURE REGARDING FOREIGN JURISDICTIONS THAT PREVENT INSPECTIONS

 Not

 PART
III

 ITEM
10. DIRECTORS, EXECUTIVE OFFICERS AND CORPORATE GOVERNANCE

 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, AND DIRECTOR INDEPENDENCE

 None.

 ITEM
14. PRINCIPAL ACCOUNTANT FEES AND SERVICES

 Not Applicable.

 PART
IV

 ITEM
15. EXHIBIT AND 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:

 4.1

 For a description of the securities of the PPLUS Trust Series GSC-2, see Prospectus Supplement (To Prospectus dated October 24, 2002) dated as of July 13, 2004 filed by the Depositor with the SEC on July 16, 2004 and incorporated here by reference.

 19.

 Insider Trading Policy

 31.1.

 Certification of the President of Registrant dated March 25, 2025, 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, 202 4.

 97.

 Policy Relating to Recovery of Erroneously Awarded Compensation.

 99.1.

 Trustee's Annual Compliance Certificate dated March 10, 2024.

 99.2.

 Report of PricewaterhouseCoopers LLP, Independent Accountants, dated March 3, 2025, Registrant's Assertion on Compliance with PPLUS Minimum Servicing Standards dated March 3, 2025 and PPLUS Minimum Servicing Standards.

 99.3.

 Report
 of KPMG LLP, Independent Accountants, dated February 21, 2025, The Bank of New York Mellon's Assertion
 on Compliance with PPLUS Minimum Servicing Standards dated February 21, 2025 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

 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, thereunto duly authorized.

 MERRILL LYNCH DEPOSITOR, INC.

 Date:
 March 25, 2025

 By:

 /s/
 Matthew J. Nelson

 Name:

 Matthew J. Nelson

 Title:

 President


ANNUAL REPORT

 UNITED
STATES

 SECURITIES
AND EXCHANGE COMMISSION

 WASHINGTON,
D.C. 20549

 FORM

 ANNUAL
REPORT

 PURSUANT
TO SECTION 13 OR 15(d) OF THE

 SECURITIES
EXCHANGE ACT OF 1934

 (Mark
One)

 ANNUAL
 REPORT PURSUANT TO SECTION 13 or 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

 For
the fiscal year ended December 31, 2024

 OR

 TRANSITION
 REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

 For
the transition period from __________ to __________

 Commission
File Numbers 333-101155, 001-32725

 TILES
Trust No. 2006-1

 0001349577

 (CIK
number of Issuing Entity)

 MS
STRUCTURED ASSET CORP.,

as Depositor and Sponsor

 (Exact
name of registrant as specified in its charter)

 0001071246

 (CIK
number of Depositor and Sponsor)

 Delaware

 13-4026700

 (State or other jurisdiction of incorporation
 or organization)

 (IRS Employer Identification No.)

 1585 Broadway, Second Floor

 New York, New York

 Attention: Joshua Schanzer

 10036

 (Address of principal executive office)

 (Zip Code)

 Registrant's telephone number,
 including area code:

 (212) 761-2904

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

 Title
 of Each Class

 Trading
 Symbol

 Name
 of Each Exchange on Which Registered

 TILES
 Series 2006-1 TILES Trust Units

 MS

 New
 York Stock Exchange

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

 None

by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act. Yes No

by check mark if the registrant is not required to file reports pursuant to Section 13 or 15(d) of the Securities Exchange Act
of 1934. Yes No

by check mark whether 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 No

by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant
to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that
the registrant was required to submit such files). Yes No

by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting
company or an emerging growth company. See the definitions of "large accelerated filer," "accelerated filer,"
"smaller reporting company" and "emerging growth company" in Rule 12b-2 of the Exchange Act.

 Large accelerated filer

 Accelerated filer

 Non-accelerated filer

 Smaller reporting company

 Emerging growth company

 If
an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for
complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.

by check mark whether the registrant has filed a report on and attestation to its management's assessment of the effectiveness
of its internal control over financial reporting under Section 404(b) of the Sarbanes-Oxley Act (15 U.S.C. 7262(b)) by the registered
public accounting firm that prepared or issued its audit report.

 If
securities are registered pursuant to Section 12(b) of the Act, indicate by check mark whether the financial statements of the
registrant included in the filing reflect the correction of an error to previously issued financial statements. Yes No

by check mark whether any of those error corrections are restatements that required a recovery analysis of incentive-based compensation
received by any of the registrant's executive officers during the relevant recovery period pursuant to §240.10D-1(b). Yes No

by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Act).
Yes No

 All
of the common stock of the registrant is held by Morgan Stanley. As of March 26, 2025, 1,000 shares of common stock, par value
$1.00 per share, were outstanding.

 DOCUMENTS
INCORPORATED BY REFERENCE:

 The
following reports of Morgan Stanley pursuant to Item 1115(b): Quarterly Report on Form 10-Q for the quarterly period ended June
30, 2024; Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2024; Annual Report on Form 10-K for the
fiscal year ended December 31, 2024; and all other documents subsequently filed by Morgan Stanley pursuant to Sections 13(a),
13(c), 14 or 15(d) of the Securities Exchange Act of 1934, during the fiscal year covered by this Report on Form 10-K, which contain
financial statements of Morgan Stanley or which amend the foregoing reports.

 PART
I

 ITEM
1. BUSINESS

 Not

 ITEM
1A. RISK FACTORS

 Not

 ITEM
1B. UNRESOLVED STAFF COMMENTS

 None

 ITEM
1C. CYBERSECURITY

 Not

 ITEM
2. PROPERTIES

 Not

 ITEM
3. LEGAL PROCEEDINGS

 Not

 ITEM
4. MINE SAFETY DISCLOSURES

 Not

 PART
II

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

 Not

 ITEM
6. [RESERVED]

 Not

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

 Not

 ITEM
7A. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

 Not

 ITEM
8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA

 Not

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

 Not

 ITEM
9A. CONTROLS AND PROCEDURES

 Not

 ITEM
9B. OTHER INFORMATION

 None

 ITEM
9C. DISCLOSURE REGARDING FOREIGN JURISDICTIONS THAT PREVENT INSPECTIONS

 Not

 PART
III

 ITEM
10. DIRECTORS, EXECUTIVE OFFICERS AND CORPORATE GOVERNANCE

 Not

 ITEM
11. EXECUTIVE COMPENSATION

 Not

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

 Not

 ITEM
13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS, AND DIRECTOR INDEPENDENCE

 Not

 ITEM
14. PRINCIPAL ACCOUNTANT FEES AND SERVICES

 Not

 ADDITIONAL
DISCLOSURE ITEMS PURSUANT TO REGULATION AB

 ITEM
1112(b). SIGNIFICANT OBLIGORS OF POOL ASSETS

 The
Goldman Sachs Group, Inc., the underlying security guarantor with respect to the Units, is a "significant obligor"
with respect to the assets of the Trust for purposes of Item 1112 of Regulation AB. For any financial statements of The Goldman
Sachs Group, Inc. required to be provided under Regulation S-X during the period since the initial issuance of the Units, this
Form 10-K report refers, pursuant to Item 1100(c)(2) of Regulation AB, to the periodic reports of The Goldman Sachs Group, Inc.
under section 13(a) or 15(d) of the Exchange Act ("Underlying Security Issuer Exchange Act Reports") that are on file
with the Securities and Exchange Commission (the "SEC"). Such Underlying Security Issuer Exchange Act Reports may
be accessed at the public reference facilities maintained by the SEC at Room 1024, 100 F Street, NE, Washington, D.C. 20549. Copies
of those materials can be obtained by making a written request to the SEC, Public Reference Section, 100 F Street, NE, Washington,
D.C. 20549, at prescribed rates. The SEC also maintains a website on the internet at  at which users can view
and download copies of reports, proxy, information statements and other information filed electronically. The SEC file number
for The Goldman Sachs Group, Inc. is 333-112367.

 The
underlying security guarantor financial statements and Underlying Security Issuer Exchange Act Reports referred to above are not
incorporated by reference in this Form 10-K report; and the Trust, the Trustee, the depositor, the sponsor and their affiliates
have not verified, have not undertaken to verify, and will not verify, the content of any such underlying security guarantor financial
statements or Underlying Security Issuer Exchange Act Reports.

 ITEM
1114(b)(2). CREDIT ENHANCEMENT AND OTHER SUPPORT, EXCEPT FOR CERTAIN DERIVATIVES INSTRUMENTS

 None

 ITEM
1115(b). CERTAIN DERIVATIVES INSTRUMENTS – FINANCIAL INFORMATION

 Morgan
Stanley is the derivative counterparty to the TILES 2006-1 Trust under an interest rate swap. For purposes of Item 1115(b) of
Regulation AB and any financial statements of Morgan Stanley required to be provided under Regulation S-X during the period covered
by this Report on Form 10-K, the financial statements included in or as exhibits to the following documents filed by Morgan Stanley
with the Securities and Exchange Commission are hereby incorporated by reference in this Item: Quarterly Report on Form 10-Q for
the quarterly period ended June 30, 2024; Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2024;
Annual Report on Form 10-K for the fiscal year ended December 31, 2024; and all other documents subsequently filed by Morgan Stanley
pursuant to Sections 13(a), 13(c), 14 or 15(d) of the Securities Exchange Act of 1934, during the fiscal year covered by this
Report on Form 10-K, which contain financial statements of Morgan Stanley or which amend the foregoing reports.

 At
prescribed rates, unitholders may obtain copies of all reports, proxy statements and other publicly available information filed
by Morgan Stanley with the SEC from the Public Reference section of the SEC, 100 F Street, NE, Washington, D.C. 20549, United
States of America. Copies of those materials can be obtained by making a written request to the SEC, Public Reference Section,
100 F Street, NE, Washington, D.C. 20549, at prescribed rates. The SEC also maintains a website on the internet at
at which users can view and download copies of reports, proxy, information statements and other information filed electronically.
Information provided by or filed with the SEC by Morgan Stanley pursuant of the Exchange Act can be located by reference to SEC
file number 001-11758.

 ITEM
1117. LEGAL PROCEEDINGS

 None

 ITEM
1119. AFFILIATIONS AND CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS

 Morgan
Stanley, which is the derivative counterparty to the TILES 2006-1 Trust under an interest rate swap, owns 100% of the stock of
Depositor MS Structured Asset Corp.

 ITEM
1122. COMPLIANCE WITH APPLICABLE SERVICING CRITERIA

 See
Exhibits 33.1 and 34.1 to this Annual Report.

 ITEM
1123. SERVICER COMPLIANCE STATEMENT

 See
Exhibit 35.1 to this Annual Report.

 PART
IV

 ITEM
15. EXHIBIT AND FINANCIAL STATEMENT SCHEDULES

 (a)
The following documents are filed as part of this Report:

 (1)
Financial Statements: Distribution Reports on Form 10-D are hereby incorporated by reference. See the table below:

 TILES

 Trust
 No.:

 Closing
 Date

 Collateral

 Payment
 Dates

 Form
 10-D Filing Dates

 For
 FY 2024

 2006-1

 2/15/2006

 The
 Goldman Sachs Group, Inc.

 02/15/2024

 02/28/2024

 2006-1

 2/15/2006

 The
 Goldman Sachs Group, Inc.

 08/15/2024

 08/27/2024

 (2)
Financial Statement Schedules pursuant to Item 8: Not Applicable

 (3)
Exhibits:

 Exhibit 4.1

 For a description of the securities of the TILES Trust No. 2006-1,
 see Prospectus Supplement (To Prospectus dated March 5, 2003) dated as of February 15, 2006 filed by the Depositor with the
 SEC on February 15, 2006 and incorporated here by reference.

 Exhibit 19

 Insider Trading Policy

 Exhibit 31.1

 Rule 13a-14(d) Certification

 Exhibit 31.2

 Servicer Compliance Statement (U.S. Bank National Association)

 Exhibit 33.1

 Report of U.S. Bank National Association, as successor-in-interest to Bank of America, National Association, on Assessment of Compliance with Servicing Criteria for Asset-Backed Securities

 Exhibit 34.1

 Attestation Report of Ernst & Young LLP on Assessment of U.S. Bank National Association's Compliance with Servicing Criteria for Asset-Backed Securities

 Exhibit 35.1

 Annual Statement of Compliance (U.S. Bank National Association)

 Exhibit 97

 Policy Relating to Recovery of Erroneously Awarded Compensation

 (b)
Exhibits: See Item 15(a)(3) above

 (c)
Other Financial Statement Schedules: Not Applicable

 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, thereunto duly authorized.

 Date: March 26, 2025

 MS STRUCTURED ASSET CORP.

 (Registrant)

 By:
 /s/ Joshua Schanzer

 Name:
 Joshua
 Schanzer

 Title:
 Vice
 President