‘What’s Mr Sellini done?’ Alfonso asks, already giving up Abel’s surname.

‘I’m afraid I’m not at liberty to divulge that information,’ I explain, hinting at something shady involving children on the internet. Alfonso looks suitably appalled, but I’m in a position to treble his weekly salary so he won’t be losing any sleep over it. We shake hands and I insist only that he keep our conversation private. Alfonso agrees and looks pleased as he leaves the bar. At Plaza de Colón, he crosses to the Barclays Bank building and disappears into the metro. I then call Bonilla from a phone booth around the corner, pass on Sellini’s name, and ask for an update on Rosalía.

‘It has been very difficult,’ he insists, adopting the evasive style that has become increasingly common in our conversations, ‘not easy to obtain answers, not simple at all.’ Having listened to his excuses for the best part of five minutes, I insist on a full progress report by Monday evening and arrange for a small team of four surveillance operatives to watch Rosalía over the weekend. Bonilla cuts me a deal – €1,600 for three days, with nobody in place, barring exceptional circumstances, between 2 a.m. and 6 a.m. After that I hail a cab, go for dinner in Malasaña, and get to bed before midnight for the first time in ten days.

The banging starts at half past five in the morning, very quietly at first, but gradually increasing in volume until I am almost shaken out of bed. The sound is initially like hammering, a spot of dawn DIY, but slowly I become convinced that somebody is deliberately dropping a large metal ball on the ceiling directly above my bed. At about ten to six the noise finally stops, only to be replaced within minutes by what sound like giant marbles being rolled en masse across a parquet floor. There is the sound of a young child laughing, then heavy footsteps and, finally, a crash.

My neighbours upstairs, a Danish couple from Copenhagen, gave birth to their first child around eight months ago. I see him in the lift every now and again, a sweet, blond-haired baby being taken for a walk in his pushchair by a pretty Venezuelan au pair. He has now reached an age where he can crawl, thumping around on his hands and knees, doubtless with a box full of Lego, while his parents clear up the mess behind him. Why don’t they take him into another room? Don’t they have soft toys in Copenhagen?

It’s pointless trying to go back to sleep. As though a mosquito were persistently dive-bombing my ear I wait, semi-conscious, for the next thump on the ceiling, the next floor-shattering bang of the ball. At half-six I get out of bed, make myself a cup of coffee and stand under the shower for ten minutes trying to work out the link between Rosalia and Sellini. Then I walk down to the newsagent on Plaza de España and buy all the British broadsheets, with The Economist thrown in for my conscience. Jaded clubbers are still drifting down Gran Vía in the dawn light and it occurs to me that Saul is due back any day now. Having walked through Plaza de los Cubos, I take a window table at Cáscaras, order coffee, tortilla and orange juice, and sit for two hours reading the papers from front page to back.

Sofía calls me at home at half past ten, just as I am beginning to make headway through a ten-day pile of foetid washing-up.

‘How was your visit to England?’ she asks.

In order to get away for the week of surveillance, I told Sofía that I had to go to London for a wedding. She has no idea that I haven’t been home for six years.

‘It was fine, thanks. Fine. Saw a lot of old friends. Ate some good food. Christ, London’s expensive.’

‘You sound like Julian,’ she says.

‘I sound like anybody who spends five minutes in England.’

Sofía laughs at this and asks what the bride was wearing and whether I danced with any pretty girls, but I grow tired of making things up and suggest we meet if Julian is out of town.

‘He’s in Cádiz,’ she says.

Cádiz? Where Saul has been staying. I experience that old familiar thump of paranoid dread, but try to dismiss it as mere coincidence. ‘Well, why don’t I take you shopping?’ I suggest. ‘We could go to the Vermeer exhibition at the Prado.’

‘You don’t want me just to come over?’

‘No. I want us to behave like a normal couple. Meet me at the main entrance to El Corte Inglés in Argüelles at midday.’

I have a hidden agenda, of course. Two or three times a week I follow a short counter-surveillance routine from the flat to El Corte Inglés via the post office off Calle de Quintana. The ten-minute route provides several opportunities to observe for a tail, while the department store itself is an ideal location in which to flush out a hostile team. In tradecraft terms, this process is called ‘dry cleaning’.

If I lived on a quieter street, one of my first actions would be to step out onto the balcony in order to check for operatives in ‘trigger’ positions; that is to say, anybody keeping an eye on my front door. But Princesa is far too busy to make an effective assessment of outside surveillance, so I set out down Ventura Rodríguez and make a right just beyond Cáscaras. At the next block, on the corner of Martín de los Heros and Calle de Luisa Fernanda, there’s a branch of the Banco Popular with a broad glass façade set at a perfect angle with which to observe the pavements behind. Still, I have only about one and a half seconds to notice the teenage girl with her hair in pigtails walking twenty metres behind me, and a middle-aged man on the opposite side of the street holding a carrier bag and scratching his nose. The trick is to memorize faces in order to be able to recognize them if they reappear at a later date. Were I, for example, to see the woman who was talking on her mobile phone yesterday outside the tyre shop, that would conclusively prove that I have a surveillance problem.

The post office is also ideal, particularly for watchers who may not know the interior layout, and might therefore lack the nerve to wait outside. My PO box is on the first floor, up a narrow flight of stairs inside a small room that’s usually deserted. If an operative were careless enough to follow me, I could get a good look at his face simply by nodding to greet him. Downstairs, the post office itself is usually crammed with customers, providing a convenient choke point in which to flush out a tail. Again, the trick is to remember faces without making eye contact. You don’t want them to know that they’ve been spotted, and they certainly don’t want to be seen.

After the post office I double back onto Quintana and walk up the hill towards El Corte Inglés. There are two zebra crossings en route and I always pause to make a phone call at the second of them, dialling just as the pedestrian lights are turning green. This is a useful technique, and one facilitated by mobile phone technology, because it allows me to turn through a complete circle without drawing attention to myself. Furthermore, anyone following me on foot is obliged to pass and cross the street, or to walk on towards the next corner. Today I call Saul, who says he left Cádiz a few days ago and drove back via Ronda to Seville. He sounds jaded, perhaps depressed, and has a ticket on the AVE leaving for Madrid at four o’clock this afternoon.

‘Should be back by eight,’ he says wearily. ‘Looking forward to seeing you.’

Sofía, as ever, is twenty minutes late. It’s annoying to have to wait for her, standing around in plain sight of the entrance to Corte Inglés with nobody to speak to and nothing to pass the time. She is wearing sunglasses, not unlike Rosalía’s, and looks around nervously before greeting me with an abrupt kiss.

‘Let’s go inside,’ she says, anxious not to be spotted by one of her friends. ‘You look terrible, cariño. Didn’t you sleep in London?’