FOX News' Hillary Vaughn and Peter Doocy Welcome Baby Girl: 'Best Assignment I've Ever Had'

Hillary and Peter Doocy

Hillary Vaughn and Peter Doocy are officially parents!

The Fox Business reporter and her husband, a Fox News White House Correspondent, welcomed a baby girl on Wednesday, Feb. 1, a rep for the couple confirms to PEOPLE exclusively.

The couple's daughter, Bridget Blake Doocy, was born in northern Virginia, weighing 8 lbs., 1 oz. and measuring 21 inches. She is the first baby for both Vaughn, 32, and Doocy, 35.

"I didn't realize this until now, but I've been training for motherhood my entire career by trying to get lawmakers on Capitol Hill to respond to my questions. This job isn't much different," the new mom tells PEOPLE. "'Baby Bridget - can you give us a comment? Are you hungry or gassy, or both?' Trying to get an on-the-record answer is tough!"

Vaughn reveals that her water broke while she was making her way to Capitol Hill, but the expectant mom was "prepared."

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Hillary and Peter Doocy

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"I knew where all the offices were for senators who used to be doctors. Sen. Barrasso (Wyoming physician of the year) saw me the day before I went into labor and told me to reach out if I ever needed anything. Luckily, I didn't have to call him to catch the baby!"

"I've only been a mom for one week but it's already the best assignment I've ever had. She's stolen the show!"

Doocy jokes about some of the name suggestions he's gotten at the White House during his time at press briefings ahead of Bridget's birth.

"During a briefing last month, the Press Secretary gave me permission to name the baby Karine and I joked we were considering naming the baby after the President: 'Joe-sephine.'  But we can report here for the first time her name is Bridget Blake Doocy," he tells PEOPLE.

The photos show the couple enjoying their newborn daughter, who is dressed in a pink onesie with her name embroidered on the front, paired with a matching pink bow. Also excited for the new addition is Steve Doocy, FOX & Friends host and new grandpa.

Congratulating his son on this new phase of life, Steve tells PEOPLE, "When I wrote a book on fatherhood, I highlighted a famous quote that, 'There are three stages of a man's life: he believes in Santa Claus, he doesn't believe in Santa Claus, he is Santa Claus.'  Peter, congratulations, you just made it to fatherhood's third round."

"The day Peter was born at George Washington Hospital — not far from the White House, while his mother Kathy was having killer contractions — she turned and said to me, 'When should we start a college fund?' My wife was sounding like a Morgan Stanley commercial," Steve laughs.

"I replied 'Why bother?' unaware of the power of twenty years of compound interest. Instead, I said, 'Pass me the PEOPLE magazine, I want to do the crossword.' True story. And today PEOPLE magazine is announcing Peter's baby, even though it seems more appropriate the announcement should come from the Department of Labor (and Delivery)," he shares.

The proud new grandpa is excited for the opportunity for him and wife Kathy to transition "from rule-makers to rule breakers."

Hillary and Peter Doocy

"Our grandkid wants Dairy Queen for dinner — again? Let's go!" he jokes. "Watching our children become good parents is absolutely heartwarming, Kathy and I are standing by to spoil the grandkids rotten. We promise we'll never run out of hugs or candy."

Steve also shares that the family had learned the baby's name shortly before her delivery. "What they didn't know before the delivery was that their baby Bridget would be born on February 1st, which happens to be St. Brigid's Day! She was Ireland's patron saint of babies — what are the odds? Legend has it Saint Brigid also miraculously changed water into beer. We're hoping Bridget Doocy waits until she's at least 21 to road-test that skill," he jokes.