Hi.
I found reply from Vinod from link sap.ittoolbox.com useful in your problem.
Title is "Payment program F110 and vendor with several bank accounts"
It seems to me that it is something that can address your problem.
Even though the title is bit different it discussed the same problem I think.
It basically talks
1) about making such settings (checks in multiple currencies) in vendor master record.
2) making setting in FBZP to use the settings specified in vendor master. (check bank details check box in payment method/country in FBZP)
I hope it is something useful.
Thank you
Shreyas