Nicoll left the IMA in September 2007 to join the FSA as director of the retail firms division.
She will retain her current responsibilities until a replacement is found.
Before joining the IMA Nicoll worked at the London Stock Exchange and the Securities Association.
She says: “I look forward to the move to retail policy and to tackling the many regulatory challenges in that area.”
Waters is taking up a new post as director of the FSA’s conduct risk division, as revealed in Money Marketing this week.