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Any match against the world champions was tough especially a nation which had kept Wales in a concession headlock for the last 59 years.
Generations had come and gone without seeing victory against the All Blacks and Gatland understood the passion and hope many patrons expressed to him and his team about overturning history.
The present All Blacks were the best team in the world and would also rank highly with any team in New Zealand's history.
"We are under no illusions about the task and when you play a quality side and especially the best team in the world, that does put you on edge," he said.
They had been outstanding in their tour opener against Scotland and while they had a few problems they got away against Italy.
Meanwhile Gatland had surveyed many potential Lions candidates being in losing teams against the Wallabies, All Blacks and Springboks.
Originally he had wanted to just coach Wales against the Wallabies to get more of a handle on their play before he took the Lions Downunder next season. Being released from Lions duty for this contest with the All Blacks was a bonus.
Wales have changed five of their starting lineup but have kept both props, Paul James and Aaron Jarvis who were given a torrid match last week by Samoa.
That had received a lot of attention and Gatland felt the gains would appear on Sunday at the Millennium Stadium.
The side was strong physically and they had no fitness issues. However, they needed to be strong with their belief and concentration about how they planned to attack the visitors.
"It's a tempo thing, getting our heads right and facing the challenge and being excited about the challenge," Gatland said. Some of the younger members of his squad were facing tasks they had never, or seldom, faced before.
Gatland did not see the last two defeats as a "serious" blip. They did not have a great depth of players and if they had injuries and unavailability they suffered.
The tough part was living up to the expectation created at the World Cup and then in the Six Nations.
Some Welsh teams in the past were beaten before they took to the field.
However, Gatland never lacked self-belief and he wanted Wales to throw something different at the All Blacks to ratchet up the pressure.
"You have got to be prepared to do a few things a little bit different and take a few risks and that is what we will be aiming to do."
- By Wynne Gray of the New Zealand Herald in Cardiff