The Spaniard arrived in west London on a four-year deal from La Liga champions Real Madrid. The midfielder is yet to taste any sort of success though, with the club currently rock bottom of the Premier League without a win in any of their opening 11 matches.
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He told Sky Sports: "I assure every supporter - I want to be here. I have heard some of that [speculation], but it's not true.
"I came here to face challenges and I'm not the kind of footballer who runs away when things are not going very good. I like being here. I want to push the team to the place they deserve."