The Vault was filmed in Madrid in Spain.
Locations
Army Headquarters
Scene where The special forces are running on the streets.
Real
In movie
Bank of Spain
Scene where The team tries to enter the bank from the roof of the building on the other side of the street.
Scene was shot The Bank of Spain is the central bank of Spain. Established in Madrid in 1782 by Charles III. The construction of the bank's headquarters began in 1884.