Hector Sants told FSA staff in a memo he hoped his decision to remain with the regulator would be a "welcome one".
Sants sent the internal message yesterday, after Chancellor George Osborne announced the previously-outgoing FSA chief executive would actually remain in the City as head of a new Bank of England subsidiary, the Prudential Authority.
He will also remain at the FSA to oversee the transition to the Government's new system of regulation.
In the memo, seen by Sky News, Sants said: "The announcement made [on Wednesday] night by the Chancellor may have come as a surprise to many but hopefully as a welcome one."
"You can be assured I will now be applying myself with great determination to the vitally important task both of continuing to manage the whole of the FSA through to 2012 and ensuring that the new regulatory structure delivers what society expects from it."
Sants, who was due to step down from his role at the FSA in the summer, told staff he was "delighted" to be asked to stay on to lead the regulator before taking up the role of the first chief executive of the new Prudential Authority.
He said the work the FSA has done over the last three years "provides an excellent basis on which to build".
"I am confident that together we will carry forward into the new world all those hard-won lessons and experiences of the past."
Sants will also become a deputy governor of the more powerful Bank.
Two global vehicles
'Further plug advice gap'
Must appoint separate CEOs and boards
Advisers do come out well
Will report to Mark Till