Bank accounts don't work like bitcoin addresses, you cannot generate a new one for each transaction. 
Actually you could. Why shouldn't it be possible?
But from what I understood he doesn't want an IBAN per transaction. He just wants an IBAN per account instead of a general bank account for all the clients of the exchange.
Well, I assume technically it would be possible, banks just don't do it.
if he would like to pay an extra fee for that??