Parents-to-be Madeleine and her husband Chris O'Neill beamed and waved as they entered Stockholm's Stock Exchange for the evening event.
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The brunette beauty sported an emerald green dress and glittering drop pearl earrings, wrapping up against the cold in a chic black fur jacket.
Madeleine was joined at the gathering by her mother and father King Carl XVI Gustaf and Queen Silvia and her siblings Crown Princess Victoria and Prince Carl Philip.
Victoria, 37, and Carl Philip, 35, were accompanied by their respective partners Prince Daniel, 41, and Sofia Hellqvist, 30.
Sofia, who become engaged to Carl Philip in October and will officially join the Swedish royal family when the couple wed on 13 June 2015, was all smiles as she entered the building sporting a chic indigo gown.
Princess Madeleine's baby is believed to be due around the time of Sofia and Carl Phillip's wedding as it is thought that she is currently three months pregnant.
News of Madeleine's pregnancy came on Friday via an announcement on the Swedish royal family's official Facebook page.
"Princess Madeleine and Mr. Christopher O'Neill are delighted to announce that The Princess is expecting their second child," read the statement.