Founded by Empress Margarita de Austria, this 17th-century mansion built in the Madrid baroque style (a pleasing amalgam of brick, exposed stone and wrought iron) is still inhabited by nuns of the Augustine order. The large art collection dates mostly from the 17th century, and among the many gold and silver reliquaries is one that contains the blood of San Pantaleón, which purportedly liquefies each year on 27 July. The convent also sits on a pretty plaza close to the Palacio Real.