Make the cheese sauce by melting the butter in a small saucepan.
Add the flour and mix with a wooden spoon until it forms a paste.
Slowly whisk in the milk, Dijon mustard and nutmeg, and continue stirring the mixture over a medium heat until the sauce thickens.
Remove the pan from the heat and let it cool slightly.
Add most of the cheese (reserving some for sprinkling later) and taste for seasoning.
Preheat the oven to 180°C/350°F (without fan).
Remove the crusts from the bread and use a rolling pin to flatten each slice.
Brush both sides of each slice of bread with melted butter and place them in a muffin tin, tucking in the corners as you do.
Place the bacon inside the bread.
Crack an egg into the centre of each piece of bread, being careful not to break the yolk. If you have large eggs, pour out some of the egg white first.
Place 1-2 tablespoons of cheese sauce on top of each egg and sprinkle with the remaining cheese.
Bake for 15 minutes if you like runny eggs, or for 17-20 minutes if you want a more cooked egg.
Sprinkle with salt and pepper and serve immediately.