DEFINITION of 'Liquid Yield Option Note - LYON'
A zero coupon bond that is callable (by issuer), putable (by investor), and convertible. LYONs are synthetic products that are financially engineered by Merrill Lynch.
BREAKING DOWN 'Liquid Yield Option Note - LYON'
A LYON typically assures the holder a positive return. This return is maintained until the opportunity to put the security back to the issuer at a premium over the issue price no longer exists.