On the simple fair value model (EUR vs the US and EUR 2s-5s swaps slopes, respectively), EUR looks a standard error cheap, or a nearly 2 cents (see chart above).

If we add 3-month Libor to the right side of the equation, though, we obtain a robust regression and find EUR/USD right on the screws.

It seems clear that the front end liquidity squeeze is having a modest impact on EUR/USD. This is true both in OLS and in a breakpoint regression (below).