Commingled exchange accounts...

My intermediary holds my exchange funds in a commingled account.

Should I be worried about this?

Yes. A commingled account means that your intermediary is putting every client's exchange funds into one account.

This creates a couple of potential problems for you. First of all, if your intermediary goes bankrupt, your funds will be used to pay other creditors of the intermediary. Even after you have received your exchange funds, you could be required to send all the money back to the creditors of the intermediary. Separate accounts (called segregated accounts) protect you from this.