Banking union, as conceived by the European Commission and approved by the Council, is based upon three pillars: single supervision, single resolution and single deposit insurance. The first pillar is with the establishment of the Single Supervisory Mechanism (SSM). The second pillar is 'single resolution', with a Single Resolution Mechanism (SRM). The third pillar is 'common deposit protection'. This chapter suggests that a fourth pillar, namely lender of last resort (LOLR) or emergency liquidity assistance (ELA). It examines the theoretical foundations of such a function and the law that applies to it in the European context. LOLR therefore comes in two forms. The first form is the traditional Thornton-Bagehot model and the second form is the provision of market liquidity assistance. LOLR is the central banking function that links monetary policy and supervision. The European central bank (ECB) in response to the sovereign debt crisis in some euro area member states purchased assets through its securities market programme (SMP).