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So started the covert operation, under Supt. Albert Canning of Scotland Yard, whose first task was to identify Wallis Simpson. “She is reputed to be very attractive,” he wrote in one report, “and spends lavishly on clothes and entertainment.” She is, he recorded at a later date, “very fond of the company of men,” while her then-husband, Ernest Simpson, was, in Canning’s view, a “bounder type.”

Another revelation from the files is confirmation of the identity of another lover allegedly taken by Simpson at the same time as the Prince of Wales. There has been speculation that it was Joachim von Ribbentrop, Hitler’s ambassador to Britain at the time, but Canning reported she was having “intimate relations” with Guy Trundle, a Mayfair car dealer and adventurer.

However, Canning’s pointing a finger of guilt should not be treated as case proved, cautions Simpson’s biographer, Anne Sebba, a contributor to the documentary.

“Trundle was known in his family as a fantasist who liked to boast. What we do know about Wallis at this time from her letters is that she is terrified about keeping happy the two men in her life — her husband and the Prince of Wales. Why would she add a third? It makes no sense.”

The surveillance operation gathered pace as the relationship became both more intense and more public. Canning follows them into a Chelsea antique shop where they call each other “darling.”

But it was the death of George V at the start of 1936, and the Prince of Wales’s accession to the throne, that changed completely the nature of the spying operation. Previously, the prime minister had been acting in concert with George V to protect his son. Now that son was King Edward VIII, so Baldwin was potentially at loggerheads with the sovereign.