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The English champions currently enjoy a slender advantage over their Spanish counterparts following a dramatic 4-3 first leg at the Etihad stadium.
However, considering Real Madrid came back from behind against Chelsea and Paris Saint-Germain in the two previous rounds, another thriller is expected at Santiago Bernabeu.
Despite holding the advantage, Fernandinho doesn't believe Man City should change their approach to the game, saying: "We are going to go there to try to win the game. We will try to play as we are playing so far. "We will try to keep the ball as much as we can, try to create chances, try to hurt them as much as we can and obviously be a bit smarter, defend better and not concede any chances over there. "They are a dangerous team. They have top players, and in the meantime, they can create chances and score goals, so you have to be careful all the time."
City enjoyed a two-goal lead on three occasions in what proved to be an exhilarating opening leg clash between the two clubs. A second-half brace from Karim Benzema keeps Madrid within one goal of the Citizens ahead of the rematch in Spain.
"It was important for us to get the result," said Fernandinho, who replaced the injured John Stones at right back in the first half. "We're disappointed to concede three goals, but it was important for us to win that game because they are a top team, they have top players and the victory will give us confidence for the game over there in Madrid."
As well as focusing on their Champions League duties, Manchester City also face an intense title challenge from Liverpool in the final weeks of the Premier League season.
Real, on the other hand, could wrap up the La Liga title with four games to go should they win against Espanyol this weekend. Fernandinho added: "It is the same as always, when we win we celebrate and then focus on the next game in the Premier League. Then Sunday we'll be back thinking about Madrid again."