The Liga leaders topped a group also containing Galatasaray and Juventus, drawing just one and losing none of their six matches.
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And the Welshman, who moved to the Bernabeu in the summer for €100 million (£86m), is relishing playing in the competition and is intent on helping to bring home La Decima this term, starting with the last-16 tie with Schalke.
"We know the Champions League is a big competition with all the best teams in it, so we know it is going to be difficult," he is quoted as saying by Fifa's offical website.
"I think we are ready, we believe we can win every game so we'll go over there and hopefully come back with the win."
Madrid's clash with Schalke at the Veltins Arena kicks off at 19:45GMT on Wednesday.