I check out of the hotel at seven the following morning and leave San Sebastián in darkness, heading south to Madrid on roads blurred by fog. Stopping for breakfast in a motorway café north of Vitoria, I send Arenaza a text message thanking him for the meeting and we arrange to have dinner on Saturday week in Madrid. That should give him a couple of days of unbridled passion with Rosalía, after which he might feel like opening up. Then Saul calls when I am an hour south of Burgos, sounding oddly nervous about my return. On the basis that he is probably hiding something, I tell him that it will be at least three o’clock by the time I make it back. This is a lie. Given decent traffic, I should be home by midday.

I park the Audi in its reserved space below Plaza de España, remove the bag of money from the boot and carry my luggage the short distance up Calle de La Princesa to the apartment. A woman’s voice, American with a Hispanic lilt, is audible as soon as I step out of the lift.

‘You’re serious?’ she says, rising on the question with Californian surprise. ‘People pay that much money for an apartment in London?’ It is not possible to hear any answer.

I press my ear to the door but there is now no sound. Three or four seconds pass and all talking has stopped. Have they realized I am outside? I turn the key in the lock and expect – what? A team of American operatives planting bugs in light fittings? Instead I am confronted by a sight both strange and wonderful: a stunning black girl walking out of the spare bedroom wearing nothing but a pair of bright yellow knickers. She stops dead in her tracks when she sees me.

‘Who are you?’

Saul comes rushing out of the bedroom, wrapped in a crumpled sheet.

‘Alec!’

‘Hello, mate.’

I ought to be angry, but it’s a bedroom farce.

‘You said you weren’t coming back until three. What happened?’

‘I wasn’t hungry. Didn’t stop for lunch. Been having fun?’

The girl has disappeared.

‘Almost, almost,’ he says, a considered response given the circumstances. ‘You don’t mind, do you?’

He’s worried that I’ll think she’s a spook. Nothing could be further from my mind, but I’ll play along just to give him a fright.

‘Who is she?’

‘Just a girl I met last night.’ He struggles to remember her name, frowning with frustration. ‘Sasha? Sammy? Siri? Something like that. She’s cool, man.’

‘Really? You sure?’

Saul shakes his head.

‘Don’t go paranoid on me.’

‘Who said anything about going paranoid?’

We have drifted out of earshot of the spare bedroom, moving towards the kitchen.

‘Look, she’s not here to steal stuff. She’s not here to plant bugs. I went up to her in a club. We came back and watched a DVD.’

‘Yeah? Which one?’

‘Ronin.’

‘Sounds exciting. Glad to see you haven’t lost your touch with the ladies.’

Saul rubs his eyes. There’s a twist of amusement in his face. ‘Look, she’s an art student from Columbia. Studying Cubism.’

‘Analytic or synthetic?’

And now he’s on to me. ‘Oh fuck off.’

I turn away, grinning, and walk back towards my bedroom. ‘See to your guest. Make her feel at home,’ I tell him. If anything, I am relieved by what Saul has done; it helps to balance out my own moral failings. Does adultery still count if your estranged wife is sleeping with another man? ‘Would she like some coffee? A daily newspaper? A glass of freshly squeezed orange juice?’

‘I’m going to get dressed,’ he replies.

Yet once Saul has disappeared back into the bedroom I experience a strange mixture of contradictory emotions: mild panic, assuaged by his insistence that the girl is just a student; relief that he will no longer occupy the moral high ground when it comes to criticizing my own behaviour; and jealousy, if only because the sounds of giggling coming from the spare bedroom would be enough to make any man feel lonely.

I text Sofía:

Home now. Thinking of you. Can we meet? x

The next half-hour is spent unpacking and stowing the money behind the fridge. There’s no sign of Saul or the girl so I leave a note and head outside. I want to get some background on Arenaza and look into Nicole in more detail. At the post office I retrieve my computer hard drive and the various coded reminders of passwords and contact addresses, then head down to the internet café at the foot of Calle de Ventura Rodríguez.

According to articles I find in nexis.com, over the past five years there have been 127 Spanish newspaper stories linked to Mikel Arenaza. I print out those in which his name appears in the first two paragraphs and then run a separate search through Google. Mostly this leads to generic information about Batasuna, although something pops up from Bilbao University concerning a lecture Arenaza gave in 1999, and that is soon spooling out of the printer. Predictably, any combination of Arenaza/Bogotá, Batasuna/Colombia or Church/Arenaza produces either garbage or irrelevant material. A Julio Arenaza from Argentina, for example, stayed at an obscure mountain hostel in Chile in 2001, and left a note in the on-line guest book saying how much he had enjoyed visiting the local church. Typing Batasuna/FARC into Nexis produces two interesting articles on the US wires about ETA’s relationship with the Italian mafia (from whom they have purchased Balkan weapons in exchange for drugs) and their links with FARC, the Colombian guerrilla movement. The US embassy in Bogotá also provides a detailed website, although a thorough check of email addresses listed on the various pages fails to turn up anyone named Nicole or Nicki or Church. There’s an ‘nrodriguez’ working in the human resources section, but unless Nicole has married someone of Hispanic descent and taken his name, it seems unlikely that this could be her. I take a note of the main switchboard number and begin again.

Arenaza said that Julian and Nicole met in Washington DC several years ago, while Julian was working in a bank. There are more than seventy financial institutions listed on the web for the DC Metropolitan area, although I know that Endiom has only one office on the eastern seaboard, in lower Manhattan. At first I check private banks and British-owned institutions in Washington, later widening the net to American-owned organizations, or those with any kind of Hispanic connection. The list grows and grows and mostly it’s just a question of writing down phone numbers in order to check with the banks directly at a later stage. The Foreign Office website, unlike that of its American counterpart, contains woefully little information about Bogotá. The page takes about six minutes to load and contains little more than a few titbits about visa requirements and Jack Straw. Eyes stinging with screen-ache, I head off for lunch and resolve to start again in an hour.

Saul calls just as I am about to tuck into a tortilla.

‘Sasha’s gone,’ he says.

‘So you remembered her name…’

‘Hope you didn’t mind her being here. Maybe I should have asked.’

‘Don’t worry about it.’

I am too caught up in Arenaza’s revelations to care. Besides, I’d like to have a hold over Saul, so there’s no point in giving him a hard time about the girl.

‘Listen,’ he says, ‘Andy’s back in Cádiz. I thought I might head down there for a few days.’

‘This afternoon?’

‘Maybe tomorrow. You want to come?’

It is the last thing I feel like doing.

‘I’d love to, but I have to write up this report for Julian. It’s going to take days.’

He sounds disappointed. There is a long pause. It is as if we have no more to say to one another.

‘How was the trip?’

‘Fine.’

And the rest of the conversation is inconsequential. I ask him if he liked the car chases in Ronin. Is he going to see the girl again? Then I hang up and see that Sofía has left a message.