A family source revealed the gender and name of the tot to HELLO! earlier on Monday, just hours after Pippa gave birth in the early morning of 15 March.
While it's not known why they chose Grace for their daughter's first name – perhaps it was a moniker they simply loved – the baby's middle names have very special meanings.
WATCH: Kate and Pippa's sweetest sisterly moments
Elizabeth seems to be inspired by Her Majesty the Queen, but it is also a clear nod to Pippa's mother Carole and her sister Kate, whose middle names are also Elizabeth.
It appears to be a family tradition, as Kate and Prince William also chose to give their daughter Princess Charlotte the middle name Elizabeth, after her paternal great-grandmother, as well as Diana in honour of Princess Diana.
Pippa's daughter's second middle name is Jane, which is a tribute to James's own mother and Pippa's mother-in-law, Jane Matthews.
Carole Middleton's middle name is also Elizabeth
A family source announced the news to HELLO! on Monday, revealing that Pippa had given birth to a baby girl weighing 6lbs 7oz at around 4:22am. "Mother and baby are doing well," the source said. "She's perfect, everyone is overjoyed at such a happy arrival."
The new arrival is the fifth grandchild for Pippa's parents Carole and Michael Middleton, and another cousin for William and Kate's three children, Prince George, Princess Charlotte and Prince Louis, to play with.
David and Jane Matthews - the baby's paternal grandparents
Pippa and James are also the proud parents of their two-year-old son Arthur, who was born on 15 October 2018 in the Lindo Wing of St Mary's Hospital in London – the same place where Kate welcomed all three of her royal children.
The author and columnist is notoriously private when it comes to her family. Reports of her pregnancy first swirled in December but it was only in early March that Pippa's mum Carole confirmed her daughter's exciting news, just days before the baby arrived.
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