Citi analysts have cautioned that although they have not revised their euro forecast, the risk of the euro falling below fair value has increased, with a potential drop to as low as 1.0850 USD.

"For context, our 0-3 month EUR/USD forecast is 1.1350, based mainly on medium-term economic growth and rate differentials," wrote analysts Daniel Tobon, Brian Levine, and Osamu Takashima.

"Now that the exchange rate has clearly broken below this level, we believe there is downside risk that could push it further to 1.0850 in the short term."

They noted: "But this is not a forecast adjustment, but rather a reflection of the extent to which EUR/USD could fall below fair value if relative interest rates remain unchanged while peripheral eurozone bond spreads widen and European banking sector selling persists."

They added: "We do not think Friday's nonfarm payrolls data is likely to be a significant driving factor."