There’s a ten-second delay before a sound comes on the line, like a metal chain falling on concrete. Then a confident-sounding American male picks up the phone.

‘Hi, this is Dave Creighton. I understand you’re lookin’ for Nicki?’

I’ve already worked out my plan of attack. ‘That’s right.’

‘And it’s a personal call?’

‘Yes. We’re old friends.’

Dave makes a noise at the back of his throat. ‘Well, you’re kind of in the right area.’

‘I am? Oh that’s fantastic.’

‘Nicki actually hasn’t worked here in a while. She’s running a day-care centre out at the Granahorrar for expat families. You want me to dig you out the number?’

‘That would be wonderful. A day-care centre?’

‘Yeah. Lotta kids here. Lotta busy people.’

‘Well, Nicki always loved children.’

Dave agrees wholeheartedly with this sentiment and taps something into a keyboard, keeping the conversation lively as he does so out of sheer American politeness.

‘So you and Nicki are old college buddies?’

‘Not really. I always wanted to go to university in the States, but we actually met in London a few years ago and became friends that way. Now I’ve got the opportunity to come to South America with my wife and son and we wanted to look Nicki up for a spot of lunch. Is she still with her husband?’

‘Felipe? Sure.’ Dave sounds surprised. ‘You know him?’

‘Felipe? I thought she married an English banker?’

‘Oh no. No.’ Laughter now. He’s buying the strategy. ‘You really haven’t seen her in a while, huh? That was a long time ago. It’s Felipe now.’

‘She’s no longer Nicole Church?’

I want to find out if the new surname is Rodríguez, which would tally with the email address on the embassy website.

‘No. Never was. Kept her name as Law, far as I know. Now it’s definitely Palacios. Señor y Señora. Let me see if I can find her. Where you calling from, sir?’

‘Barcelona.’

‘Wow. OK. How’s the weather there?’

‘Really nice. Sunny.’

‘Great.’ He has found the number and I write it down, splashing black tea on the surface of the table when the mug rocks. ‘That about all I can do for you?’

‘That’s about it. Thank you, Dave, you’ve been very helpful.’ The conversation has gone so smoothly that I risk one more question. ‘So what happened to the English husband?’

‘Well, I’d better let you ask Nicki that. Complicated situation, right? You take care now. Have a nice evening.’

I hang up, trying to work out how I feel. If Nicole is just a glorified nanny, then there’s nothing to worry about. Her job at the embassy can only have involved clerical or commercial work: a former colleague would never speak so candidly about someone who had been in the Agency. But why was he reluctant to discuss Julian? Purely to protect a colleague’s privacy, or because the relationship ended in scandal? Now my mind really starts to turn over. Who was I talking to? Did the receptionist follow protocol and connect me to a CIA officer who used the day-care centre as routine cover? And why did he ask where I was calling from? They could be running checks on the SIM card right now, warning Nicole and Julian, doing anything to protect the plan. Yet he gave up the number without hesitation and never even asked my name. The conversation was surely just as it appeared. Either way, there’s no sense in dialling the centre. If Nicole is there, I will have to talk to her and pretend to be a parent enquiring about fees and facilities. If she isn’t, the possibilities are endless: that she never works there; that she took the day off; that she has been instructed to avoid my call. I need some air.

Out on Princesa I consider throwing the Amena card in a bin, but decide against it and go for a coffee in Plaza de Comendadoras. I walk up Calle del Conde Duque and turn right into Guardias de Corps, following more or less the same route that Saul and I took on the way to Café Comercial. There are young children playing on swings in the small, fenced-off area at the western end of the square, watched by listless parents and a tramp lying flat out on a bench. Beyond them, on the far side of the square, three older boys wearing torn T-shirts are kicking a burst football against the wall of the old convent. The slap of the punctured leather is oddly relaxing. I come to a decision: in order to obtain conclusive answers about Julian’s true identity, it will be necessary to question Sofía. This will be a considerably more difficult task than phoning bored officials in Bogotá and Washington, but they always say that the best information is pillow talk. To that end, at around five o’clock I call her at work and encourage her to come round. Sofía sounds excited and says that she can be at my apartment by 6.30. This gives me time to sink a café solo in a bar at the far end of the square, to head home for a shower and to buy her an expensive box of chocolates at VIPS. Then it’s just a question of waiting.

She is three-quarters of an hour late and arrives wearing a fur-trimmed coat, high-heeled leather boots, a knee-length tweed skirt and the white Donna Karan shirt I bought her in Marbella after my last trip in November. Adultery clothes. In the hall I slip the coat to the floor and we guide one another wordlessly into the bedroom, underwear leaving a cinematic trail all the way to the headboard. We say virtually nothing to one another for the next hour, rediscovering the passion of our very first weeks together. It is almost as if the threat of Sofía’s betrayal has brought us closer together. Only towards eight o’clock, showered and padding around the flat, does she unwind and begin to talk.

‘You looked exhausted when I came in,’ she says. ‘The trip north tired you?’

‘A little,’ I reply. ‘But it was more having Saul to stay. We went out drinking until six on Saturday’

‘Six!’ There is nothing unusual about this in Madrid, but Sofía sounds surprised. ‘He stayed a long time, your friend.’

‘Too long,’ I reply, and now we speak in Spanish. ‘I don’t particularly like myself when he’s around. I can’t explain it. And his wife has just left him, so he was tetchy. He needs a break. He went to Córdoba on Sunday, might come back next week.’

I am lying wrapped in a cotton sheet in the bedroom, unable to keep an eye on Sofía as she wanders around the apartment, audibly picking up odd bits of paper and magazines, making no secret of her nosey fascination for my closed, obscure existence. In the sitting room she switches a CD from Mozart to Radiohead and then returns to give me a kiss. It surprises me that she has not picked up on what I said about Saul.

‘What time do you have to go home?’ I ask.

‘You want me to leave?’

‘Of course not. I want you to stay. I want you to stay for ever.’

‘Ten o’clock,’ she says, ignoring the flattery. ‘Julian thinks I have yoga with María.’

She has left the room again. From the kitchen she asks if I would like some water and I hear her pour two glasses from a bottle in the rack. I put on a T-shirt, pull the duvet across me for warmth and catch Sofía’s perfume on the pillow.

‘You friend said that you used to work in oil,’ she calls out. ‘How come you never told me about this?’

‘Does that upset you?’

‘That you didn’t tell me?’

‘Yes.’

She comes back into the bedroom, hands me the glass of water and appears to give the question some serious thought.

‘It doesn’t upset me that you didn’t tell me,’ she says eventually. ‘It upsets me that you have things to hide.’

‘Well, that’s my problem, my past,’ I reply, with more candour than intended. ‘We all have secrets, Sofía. We all have things we conceal.’

‘I don’t.’

This might be a way into the Julian situation, a chance to begin asking awkward questions. She is wearing one of my business shirts and a pair of thick winter socks, leaning up beautifully against the wall at the foot of the bed next to a Habitat Matisse.