The classical doctrine of the Lender of Last Resort asserts that the Central Bank should lend to "illiquid but solvent" banks under certain conditions. Several authors have argued that this view is now obsolete: when interbank markets are efficient, a solvent bank cannot be illiquid. This paper provides a possible theoretical foundation for rescuing the classical doctrine. Our theory does not rely on the multiplicity of equilibria that arises in models of bank runs. We build a model of banks' liquidity crises that possesses a unique Bayesian equilibrium.