Caprice feared she had miscarried her baby shortly before finding out her surrogate had lost one of her twins.
Caprice has revealed she was initially expecting three children - but her surrogate lost one of her twins.
The 41-year-old model is expecting two children, one naturally and one via a US surrogate to be born just four weeks apart from each other in August and September, but the blonde beauty feared she had miscarried shortly before discovering her surrogate had.
She said: ''In March I found out I was pregnant. I remember taking a test and thought somebody upstairs is really taking the mickey - but I went to a store and bought every single brand [of test] and they were all positive. It was one of the best days of my life!
''But the next day I started bleeding so I thought I was miscarrying again ... and then my surrogate called me up and told me that we had lost one of our babies, a girl. So I went to get checked and was preparing myself and she turned the screen towards me and I saw a little heartbeat.''
Caprice discovered she was pregnant just two months after starring on reality TV series 'Splash!' - in which she had to try to master the art of diving into an Olympic-size swimming pool - but insists she would have dropped out of the programme straight away if she had known she was expecting.
She explained: ''Obviously if I 'd have known at the time, I would have ditched that show in half a second ... but in March I found out I was pregnant.''
Caprice admits she was an ''emotional wreck'' when she first miscarried and it put a ''strain'' on her relationship with partner Ty Comfort, who she has been dating for two years.
In an emotional chat on UK TV show 'This Morning', she added: ''At the time they didn't know why, it was a terrible day but we decided to go for IVF and we went through IVF treatment three times and at the end of that the doctor said, 'We have good news and bad news' ... The good news is that you have healthy embryos, but the bad news is that your chances to conceive naturally are very, very slim because the lining of your uterus is very, very thin.
''It's a strain on your relationship. But on yourself as a woman, there's a lot of hormones going through you and it's a really tough experience ... I was a little bit of an emotional wreck, but then the doctor said there were alternatives.''