SSRS parameter values are filtered in accordance to other parameters values.

The below MDX fetches the Currency Codes based on the the @Agency parameter value.  The STRTOSET function convert string to SET.

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])