Disclaimer: I'm answering this purely from "muscle memory", and haven't tested or verified it...but I think it's worth a try.

I think the problem here is your dimensional reference, which steps down to the lowest level. I'd replace

Currency Conversion].[Currency Conversion].[Currency Conversion].MEMBERS

with

Currency Conversion].[Currency Conversion].MEMBERS

to include the "ALL" member of the dimension as well. You may need to add an aggregate here to make that work.