The Welsman sealed a €100 million (£86m) move to the Santiago Bernabeu from Tottenham and has enjoyed a successful season in the Spanish capital, scoring the winning goal in their Copa del Rey final triumph.
The 24-year-old can scarcely believe that he will be playing in the showpiece of Europe's biggest club competition and is delighted with how his career in La Liga has panned out.
"If someone had told me then that I would be playing in a Champions League final, I probably would not have believed them straight away but that is football for you," he told The Daily Telegraph.
"I felt the time was right to leave Tottenham and go to Real Madrid for the exact reasons I am experiencing now. As a player you want to come to the best club in the world and you want to win trophies.
"I don’t feel I had anything to prove. I always have confidence in my ability and I always try to come through whether it is a good or a bad time. It was great to score the goal in the Copa del Rey.
"I was a huge Madrid fan, the club played with such a swagger, they believed they could win every game. It was just everything about Real Madrid – the team, the stadium, winning trophies, or getting close.
"They always had players who would get you out of your seat and, as a fan, that’s what you want to see.
"I always wanted to be here but as soon as I came here I felt comfortable straight away. It obviously took me a bit of time to get used to everything but I felt comfortable straight away playing football here with the best players in the world."