Madeleine, 35, broke the news about the new addition to her family herself on Facebook, writing: “Chris and I are thrilled to announced that I am expecting. We look forward to four becoming five!”
The Royal Court confirmed that she is in good health and is expected to give birth in March next year.
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Madeleine and British-American financier O'Neill – who has chosen not to take a royal title in order to continue his business – married in 2013. The couple already have two children together, Princess Leonore who was born in New York in 2014 and Prince Nicolas, born in Stockholm's Danderyd Hospital in 2015.
They are based in London but are currently in Stockholm, where they have been spotted in restaurants around the capital, and where Leonore earlier this month started attending a Swedish nursery school.
“The family are still living in London, but because they also regularly stay in Sweden it is good that Princess Leonore gets this experience. It is also very important to Madeleine that the children get a strong connection to Sweden and the Swedish language,” Royal Court spokesperson Margareta Thorgren told the Aftonbladet tabloid.
The new baby will have plenty of royal cousins to play with.
Madeleine's older brother, Prince Carl Philip, and his wife, Princess Sofia, are expecting their second baby in September. Their first child, Prince Alexander, was born in April 2016.
Princess Victoria, first in line to the throne, has two children – Princess Estelle and Prince Oscar – with her husband Prince Daniel.