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Melt the butter in a heavy-bottomed saucepan. Add in the flour and whisk for 1 minute.
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Slowly add in the milk and whisk until the sauce is thick.
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Add in the yolks and cook over low heat for 2 minutes.
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Add in the cheese, and stir over low heat until melted.
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Remove the sauce from the heat and season with salt, white pepper and nutmeg.
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Pour the sauce into a bowl.
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Cover the top of the sauce with buttered wax paper.
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Heat again before serving or refrigerate.