Preheat the oven to 375°F/190°C.

Add the Brussels sprouts to a large pan and cover with water. Bring to a boil and cook for 4 minutes, drain.

Add the oil to a sauté pan over medium heat. Add the bacon, cook until lightly browned and crispy.

Sprinkle the flour into the bacon and fat. Stir until well mixed and cook for 1 minute. Slowly stir in the milk until the flour is dissolved and there are no lumps. Add the nutmeg, salt, pepper and simmer until the milk starts to thicken.

Turn off the heat and add the cheeses. Stir until the cheese is melted.

Pour half of the cheese sauce on the bottom of an 8 x 8 x 2-inch (20 x 20 x 5-cm) baking or casserole dish. Add the Brussels sprouts on top of the sauce and then pour the rest of the sauce evenly on top.

Bake for 25 to 30 minutes, until the top is browned. Serve hot or at room temperature.