Preheat the oven to 180°C/350°F/Gas 4. Bring a pan of salted water to the boil and add the cauliflower. Return to the boil for 2-3 minutes until tender, then drain into a colander and leave to steam dry.
In a large mixing bowl, combine the egg yolks, crème fraîche, cheese and nutmeg and season well with salt and plenty of black pepper. Add a splash of water so it’s the texture of double cream. Add the cauliflower and mix well so that every piece is covered. Have a taste to check the seasoning.
Transfer to a baking dish and tuck the bay leaves into the dish so they are fully submerged. Tear each anchovy lengthways in half and drape over the top. Place in the oven for 15-20 minutes until the top is beginning to brown and the sauce is bubbling.