How to set SSRS parameters with non-empty available values for a dimension using MDX

Recently, I have to write a SSRS report which the parameter is a drop-down list showing only non-empty available values for a dimension the dimesion. The below example returns all the Currency Codes where the closing balances is not empty by using FILTER function.

WITH

MEMBER [Measures].[ParameterCaption] AS [Currency].[Currency Code].CURRENTMEMBER.MEMBER_CAPTION
MEMBER [Measures].[ParameterValue] AS [Currency].[Currency Code].CURRENTMEMBER.UNIQUENAME
MEMBER [Measures].[ParameterLevel] AS [Currency].[Currency Code].CURRENTMEMBER.LEVEL.ORDINAL

SELECT {[Measures].[ParameterCaption], [Measures].[ParameterValue], [Measures].[ParameterLevel]} ON COLUMNS ,
FILTER ( [Currency].[Currency Code].CHILDREN,NOT ISEMPTY( [Measures].[Closing Balance] ) ) ON ROWS

FROM ( SELECT ( STRTOSET(@Agency, CONSTRAINED) ) ON COLUMNS FROM [My Cube])