Café Comercial is located at the southern end of Glorieta de Bilbao, a junction of several main streets – Carranza, Fuencarral, Luchana – that converge on a roundabout dominated by a floodlit fountain. If you read the guidebooks, the café has been a favoured haunt of poets, revolutionaries, students and assorted dissidents for almost a hundred years, although on an average evening in 2003 it also boasts its fair share of tourists, civil servants and mobile-clutching businessmen. Saul walks ahead of me through the heavy revolving doors and glances to his right at a crowded bar where bag-eyed madrileños are tucking into coffee and plates of microwave-heated tortilla. I indicate to him to keep walking into the main body of the café, where Comercial’s famously grumpy, white-jacketed waiters are bustling back and forth among the tables. For the first time he seems impressed by his surroundings, nodding approvingly at the high marbled columns and the smoked-glass mirrors, and it occurs to me that this is a foreign visitor’s perfect idea of cultivated European living: café society in all its glory.

The upper storey of the Comercial is used as a club on Tuesday and Thursday evenings by an eclectic array of chess-loving locals. Men, ranging in ages from perhaps twenty-five to seventy, gather in an L-shaped room above the café, cluttered with tables and green leather banquettes. Very occasionally a woman will look in on the action, although in four years of coming here twice a week I have never noticed one taking part in a game. This might be sexism – God knows, still a familiar feature of twenty-first-century Spain – but I prefer to think of it simply as a question of choice: while men battle it out at chess, the nearby tables will be occupied by groups of chattering middle-aged women, happier with the calmer arts of cards or dominoes.

Coming here on such a regular basis has been a risk, but chess at Comercial is a luxury that I will not deny myself; it is three hours of old-world charm and decency, uninterrupted by regret or solitude. I know most of the men here by name, and not an evening goes by when they do not seem pleased to see me, to welcome me into their lives and friendships, the game merely an instrument in the more vital ritual of camaraderie. Still, back in 1999, I introduced myself to the secretary using a false name, so it’s necessary for me to stop Saul halfway up the stairs and explain why he cannot call me Alec.

‘Come again?’

‘All of the guys here know me as Patrick.’

‘Patrick.’

‘Just to be on the safe side.’

Saul shakes his head with bewildered, slow-motion amusement, turns, and climbs the remaining few steps. You can already hear the snap and rattle of dominoes, the rapid punch of clocks. Through the doorway opposite the landing I spot Ramón and a couple of the other, younger players who show up from time to time at the club. As if sensing me, Ramón looks up, raises his hand and smiles through a faint mist of cigarette smoke. I fetch a board, a clock and some pieces and we settle down at the back of the room, some way off from the main action. If Saul wants to talk about his marriage, or if I feel that the time is right to discuss what happened to Kate, I don’t want any of the players listening in on our conversation. One or two of them speak better English than they let on, and gossip is an industry I can ill afford.

‘You come here a lot?’ he asks, lighting yet another Camel Light.

‘Twice a week.’

‘Isn’t that a bad idea?’

‘I don’t follow.’

‘From the point of view of the spooks.’ Saul exhales and smoke explodes off the surface of the board. ‘I mean, aren’t they on the look-out for that sort of thing? Your pattern? Won’t they find you if you keep coming here?’

‘It’s a risk,’ I tell him, but the question has shaken me. How does Saul know a tradecraft term like ‘pattern’? Why didn’t he say ‘routine’ or ‘habit’?

‘But you keep a look-out for new faces?’ he says. ‘Try to keep a low profile?’

‘Something like that.’

‘And it’s the same thing in your normal life? You never trust anybody? You think death is lurking just round the corner?’

‘Well, that’s putting it a bit melodramatically, but, yes, I watch my back.’

He finishes arranging the white pieces and my hand shakes slightly as I set about black. Again the nonsensical idea arises that my friend has been turned, that the breakdown of his marriage to Heloise is just a fiction designed to win my sympathy, and that Saul has come here at the behest of Lithiby or Fortner to exercise a terrible revenge.

‘What about girlfriends?’ he asks.

‘What about them?’

‘Well, do you have one?’

‘I do OK.’

‘But how do you meet someone if you don’t trust her? What happens if a beautiful girl approaches you in a club and suggests the two of you go home together? Do you think about Katharine? Do you have to turn the woman down on the off-chance she might be working for the CIA?’

Saul’s tone here is just this side of sarcastic. I set the clock to a ten-minute game and nod at him to start.

‘There’s a basic rule,’ I reply, ‘which affects everyone I come into contact with. If a stranger walks up to me unprompted, no matter what the circumstances, I assume they’re a threat and keep them at arm’s length. But if by a normal process of introduction or flirtation or whatever I happen to get talking to somebody that I like, well then that’s OK. We might become friends.’

Saul plays pawn to e4 and hits the clock. I play e5 and we’re quickly into a Spanish Game.

‘So do you have many friends out here?’

‘More than I had in London.’

‘Who, for instance?’

Is this for Lithiby? Is this what Saul has been sent to find out?

‘Why are you asking so many questions?’

‘Jesus!’ He looks at me with sudden despair, leaning back against his seat. ‘I’m just trying to find out how you are. You’re my oldest friend. You don’t have to tell me anything if you don’t want to. You don’t have to trust me.’

There’s genuine pain, even disgust in this single word. Trust. What am I doing? How could I possibly suspect that Saul has been sent here to damage me?

‘I’m sorry,’ I tell him, ‘I’m sorry. Look, I’m just not used to conversations like this. I’m not used to people getting close. I’ve built up so many walls, you know?’

‘Sure.’ He takes my knight on c6 and offers a sympathetic smile.

‘The truth is I do have friends. A girlfriend even. She’s in her early thirties. Spanish. Very smart, very sexy.’ It wouldn’t, given the circumstances, be politic to tell Saul that Sofía is married. ‘But that’s enough for me. I’ve never needed much more.’

‘No,’ he says, as if in sorrowful agreement. With my pawn on h6, he plays bishop b2 and I castle on the king’s side. The clock sticks slightly as I push the button and both of us check that the small red timer is turning. ‘What about work?’ he asks.

‘That’s also solitary.’

For the past two years I have been employed by Endiom, a small British private bank with offices in Madrid, performing basic due diligence and trying to increase their portfolio of expat clients in Spain. The bank also offers tax-planning services and investment advice to the many Russians who have settled on the south coast. My boss, a bumptious ex-public schoolboy named Julian Church, employed me after he heard me speaking Russian to a waiter at a restaurant in Chueca. Saul knows most of this from emails and telephone conversations, but he has little knowledge of financial institutions and precious little interest in acquiring any.

‘You told me that you just drive around a lot, drumming up clients in Marbella…’

‘That’s about right. It’s mostly relationship driven.’

‘And part-time?’

‘Maybe ten days a month, but I get paid very well.’