Clean, wash and cut the leek into pieces of about 12 cm. Cook in boiling salted water for 5-8 minutes. Drain and let drain well, collecting the cooking water. Melt the fat. Stir in flour and let it sweat briefly. Stir in cream and 100 ml cooking water bit by bit.
Season sauce with salt, pepper and nutmeg. Wrap each piece of leek with a slice of ham (possibly halve it). Put them into a small casserole dish. Pour the sauce over it and sprinkle with cheese. Bake in a preheated oven (electric cooker: 200 °C/ gas: level 3) for approx. 20 minutes. Sprinkle with chopped parsley as desired