Melt 4 tablespoons butter; add 4 tablespoons flour. When smooth, add 2 cups milk. When thickened add little salt and pepper, 1/2 teaspoon dry mustard, pinch of cayenne, 4 tablespoons Madeira or Sherry. Cook slowly.

Let cool a little. Stir in 2 egg yolks beaten with 1 cup heavy cream. Then add 2 pounds cooked shrimp and heat until hot.