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Preheat oben to 425 degrees F.
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Simmer the shrimp in boiling salted water for 3-5 minutes until
shrimp just turn pink.
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Drain, reserving 1 c of the liquid.
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Set aside.
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Simmer water in the bottom of a double boiler.
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Melt the butter in the top of a double boiler (directly on the
heat) and stir fry shallots until limp.
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Add flour, salt, mustard and pinch cayenne pepper, stir until
blended.
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Add the milk and shrimp cooking water and heat, stirring
constantly until smooth and thickened.
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Remove pan from heat.
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Vigourly stir 1 c of sauce into the yolks until well
blended.
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Add mixture to sauce in pan and put the top of the double boiler
over the simmering water in the bottom.
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Stir sauce for 1-2 minutes to completely cook the egg
yolks.
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Spoon 1/2- 3/4 c of the sauce in an ungreased 2 quart au gratin
dish or shallow casserole.
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Arrange shrimp in sauce and cover with remaining
sauce.
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Sprinkle with Parmesan.
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Bake uncovered 10-15 minutes, until hot but not
boiling.
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Broil 6" from heat for 1-2 minutes to brown.
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Serve with rice.