In a saucepan or a deep pan, melt the butter over low heat, then add the heavy cream and warm it over low heat for 2-3 minutes.
Add the grated Parmesan cheese and continue heating the cream over low heat while stirring with a wooden spoon or a whisk until the cheese has melted and fully incorporated into it. Do not allow the sauce to come to a boil. It should only simmer very lightly. Finish it off with a few gratings of nutmeg, taste and add a pinch of salt if needed.