It’s a long wait. Towards nine o’clock the first of the guests begin to leave, but they’re mostly senior management, grey-haired men with mink-comforted wives not young enough to stay on and party. Sitting becomes increasingly uncomfortable and my back starts to ache in the lower part of the spine. It’s another hour and a half before people begin to come out in droves, and I have to concentrate hard on the entrance to make sure that Rosalía, who is comparatively small, doesn’t slip away in the crowd. Then a car pulls up behind the Audi and the driver makes a phone call. Hazard lights come on, and it’s clear that he will block me if Rosalía leaves. I am on the point of opening the door and asking him to move when she comes out of the restaurant and walks directly towards him. This must be Gael, come to pick her up. Sure enough he leans across, unlocks the passenger door, and she slides in beside him. They kiss briefly on the lips, but she is too busy waving goodbye to a weeping colleague to engage him properly in conversation. Nevertheless, on instinct I would say that the two of them look comfortable together and I feel a lurch of dread for Mikel; Rosalía seems unaffected by his disappearance. I start the engine, reverse out behind them and follow the car down the hill. Gael is driving a dark blue Citroën Xsara, number plate M 6002 GK, and I scribble this down on the inside back page of the book as soon as we reach the first set of traffic lights. He heads directly for the M30 orbital, looping north-east onto the Autovía de Colmenar Viejo and from there directly onto the Castellana, the eight-lane spine of Madrid which runs as far south as Gran Vía. We pass beneath the leaning Kia towers at Plaza de Castilla, sticking to the Castellana until the roundabout at Santiago Bernabéu. The great stadium looms like an Ark in the darkness as Gael makes a left along its southern face, accelerating up the hill towards the Hospital de San Rafael. Just beyond the summit of Concha Espina he turns left into a quiet residential road and I slow down in order to make the pursuit less obvious.

I have only just made the turn myself when I see them ahead making a second left into a narrow, car-crowded street. Without knowing the neighbourhood, I would guess that this is where they live. If Gael is taking a short cut, the chances are that I will lose them. Pausing a car’s length from the turn, I switch off both engine and headlights and try to spot where they have gone. About fifty metres on the right, a car is reversing into a space beside a line of silver birches. Another tree is partially blocking my view, but it has been recently pruned and I can clearly see Rosalia’s head as she steps out of the car. Gael appears now – dark hair, around five feet ten, a good-looking man of about thirty-five – and bends to lock the door. Then he follows her across the street. They are going into the first building on the corner, the one immediately to my left.

Now I move quickly. Leaving the Audi double parked, I walk to a point where I have an unobstructed view of the front of their building, which is a comparatively small apartment block covered in creeping ivy, with six floors of flats on either side of a central staircase. There are lights on in seven of the two-dozen visible windows and, with any luck, I should be able to tell where Rosalía lives once they get inside. I pull out a mobile phone and press it to my ear, pretending to hold a conversation while staring at the building ahead.

Bingo. Sixth-floor window, right-hand side. A light has been switched on. Gael appears briefly, tugs at the curtains, and then draws them shut.

So now I have her address. Calle de Jiloca 16/6 Izq.

The next morning, at five, I pick up the car from the garage and drive back to Jiloca to be certain of following Rosalía if she leaves before dawn. Like some washed-up private eye in Hammett or Chandler I buy a cup of polystyrene garage coffee and drink it in a freezing front seat, cursing the pain in my back. That’s why all the experts recommend surveillance from a van; you can walk around; you can stretch your legs; you can piss without having to do it in a bottle.

Gael finally comes out at 7.25 a.m., wearing a badly cut suit and shouldering a small red backpack. He is only the second person to have left the building all morning. He walks directly across the street, opens up the Xsara, throws his jacket on the back seat and drives off to work. This is now the crucial time. If Arenaza is still in Madrid, the chances are that Rosalía will leave to meet him within the next thirty minutes. He may even show up at the apartment. That’s what I have to hope for. Otherwise this is going to be a very long day.

In the end, it’s three hours before she shows. Three hours of hunger, three hours of back pain, three hours of inconsolable boredom. What the hell am I doing? Why not just go straight to the police, tell them what I know about Mikel and Rosalía and let the cops sort everything out? Yet there is something thrilling about being privy to Arenaza’s dark secret; and if there is more to his disappearance than a mere adultery, perhaps that will lead me back into some of the excitement of ’96 and ’97. I am still buoyant from the initial lie to Plettix, from the stakeout at Sierra y Mar and the interview with Zulaika. Somehow all the kick and buzz of the old days has come flooding back; it’s a relief to have something with which to lift the everyday tedium of exile.

Rosalía is wearing a denim jacket over a thick woollen polo neck and carrying a handbag about the size of a large hardback book. She has make-up on, although not as much as last night, and still looks somewhat withdrawn and tired. She may be on her way to meet Arenaza, although her appearance would suggest otherwise. It strikes me that this does not look like the mistress of a married man who. has dolled herself up for a day of romance and passion; on the contrary, this looks like an ordinary woman with the day off work, on her way to go shopping or to meet a friend for coffee.

I looked at a map of the area last night and memorized every street within a three-block radius and it’s immediately clear that she isn’t going to hail a taxi. Instead, she turns away from Concha Espina – where they drive past all the time – and walks north along Calle de Rodríguez Marín towards the metro station on Príncipe de Vergara. Risking a ticket on the Audi I decide to follow her on foot, and it’s bliss to be moving again, my spine stretching out, pursuing at a distance of between thirty and forty metres, sometimes walking along the opposite side of the street, sometimes not. In the cluster of shops at the north end of Marín she buys a copy of El Mundo and then heads into a café for breakfast. I have a clear view of her table from the plastic bench at a bus stop just across the street, but she speaks to no one – not even on a mobile phone – in all the time that she is inside. Afterwards she heads home and doesn’t come out again until 3.15, when she lunches alone in a restaurant four blocks from her apartment. The highlight of my day comes at 5.05 when Rosalía does a series of aerobic stretches in the sitting room and I get to feel like Jimmy Stewart watching the ballerina in Rear Window. Otherwise it’s a pointless day. Gael comes home at 7.40, by which time I am dizzy with boredom and hunger. In thirteen hours I have eaten just two magdalena sponges and a cheese bocadillo, bought quickly from a corner shop when I was sure that Rosalía was safely settled in for lunch. The two of them stay at home all night and by 11.30 I cut my losses and leave. There must be an easier way of doing this. There must be a reason Arenaza hasn’t shown.

The next day – Saturday – it’s the same routine: up at five, in place by a quarter to six, nothing going on until eleven. I organize myself a little better this time, bringing sandwiches, a bottle of water, a Walkman and several CDs. Still, the time creeps by, as slow as the last hour of a train journey, and I am increasingly nervous about being spotted, either by Rosalía or – more likely – by an alert, curtain-twitching neighbour. If only I had access to a disused apartment, to a neighbourhood shop or café with clear sight of her flat. It might be a good idea to take the Audi out of circulation on Monday and to switch it for a different vehicle, a rental from Hertz, say, maybe even a van. It might be an even better idea to hire a professional investigator. What, after all, do I manage to deduce by the time the weekend is over? That Rosalía likes going to the gym on Saturday mornings. That she seems happy and physically intimate with Gael. That she visited an elderly relative in the suburb of Tres Cantos on Saturday afternoon and went for a brief walk in the park. They met friends for drinks in La Latina that evening but were home by one o’clock. This allowed me to grab three hours of much-needed sleep, but left me with the overwhelming sensation that I was wasting my time. On Sunday they woke up late and took the metro to Callao and I followed Rosalía into FNAC, a French-owned department store selling music, books and DVDs. Gael left her at the entrance and I was briefly concerned that he might have spotted me and was going to double back in order to watch her tail, but he walked south towards Sol and didn’t return for twenty minutes. By that time Rosalía had bought two CDs (Dido, Alejandro Sanz) and – as ever – was seemingly oblivious to any threat of observation. Later they went for coffee near the Reina Sofía museum, but were home by 8.15. They seem to spend a worrying amount of time sitting on the sofa.