First issued in 1985 after its development by Merrill Lynch, a LYON is a Liquid Yield Option Note. In less fancy terms, LYONs are zero coupon, convertible, callable, putable bonds. They work this way: prior to maturity, an investor can convert the LYON into a specified number of common shares. As the value of the zero coupon bond approaches par over time, the conversion price increases according to a schedule set in the indenture. On designated dates prior to maturity, an investor can put the bond to the issuer and receive specific prices that increase as the value of the zero coupon bond approaches par over time. Finally, the issuer can call the bonds and pay investors an indenture-specified price that rises over tiem as the bond value accrues to par.