Put the milk, cornflour, butter, onion powder, mustard powder and cayenne into a medium saucepan and place it over a gentle heat.
Using a balloon whisk, whisk continuously as the butter melts and the sauce slowly comes up to a gentle simmer. The sauce will thicken quite suddenly, so keep whisking until it is smooth, glossy and coats the back of a spoon.
Turn the heat right down and let it simmer very gently for 8–10 minutes, whisking from time to time so it does not catch. This cooks out the cornflour and gives the sauce a rounded, savoury flavour.
Add the Cheddar and Parmesan, whisking until fully melted and smooth. Season with salt, freshly milled black pepper and a little freshly grated nutmeg. Taste and adjust the seasoning if needed.