16 May, 17:08
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Gilbert's side is in great form, running in five tries in Friday night's convincing 33-12 over Glasgow, but the New Zealander admits the Madrid match will be like stepping into the unknown.
"To be honest with you I don't know anything about Madrid," said Gilbert.
"But I am expecting a tough game and I'm slightly apprehensive about the match. A lot of people have said that this game is a forgone conclusion but if we go into the match thinking like that then we'll get beaten."
Borders will be without Gary Armstrong and Semi Sititi for the match on Saturday. Both were stretchered off during the Glasgow match. Scrum-half Armstrong will be out for at least two months and inspirational back row forward Sititi will be missing for two weeks.
And Gilbert believes that despite the loss of two former international captains, his side can still cope with any challenge thrown at them.
"It's a big blow to lose two huge experienced players. But we've got a good enough squad to deal with such problems."
The injury to Armstrong will give young Chris Cusiter a chance to show why he so highly rated by the Borders management.
"It's a great opportunity for Chris," Gilbert said. "He's a huge talent and the injury to Gary will give him the chance to show what he can do."