3. In a small saucepan, melt butter and then add flour. Stir both ingredients together until you reach a smooth consistency. Transfer to a small bowl. Clean the saucepan for the next procedure.
4. Heat milk and stir in vanilla extract in the cleaned saucepan. Bring to a boil. Add in the flour and butter mixture. Using a whisk, mix together the ingredients until no lumps are visible achieving a smooth consistency. Simmer the sauce until it thickens. Immediately transfer the saucepan over iced water for 10 minutes to cool.
5. In a mixing bowl, separate egg yolks from the egg whites.
6. Add the egg yolks to the thickened sauce. Stir in cheddar and parmesan. Season with nutmeg.
7. In a separate bowl, whisk egg whites until it reaches peak which can hold its shape. Then using a metal spoon, gradually stir in egg whites into the sauce mixture.