Blitz the bread to crumbs in a food processor and stud the shallots with the cloves. Put the shallots in a saucepan with the bay leaves, peppercorns and milk. Heat gently for 20 mins, then pour the mixture through a sieve into a clean pan and discard the aromatics.
Heat the infused milk until simmering, then add the flour, breadcrumbs, butter and nutmeg. Add the cream and buttermilk, and season well. Cook for 6-8 mins more or until the sauce has thickened. Can be made up to two days ahead or frozen for two months. Reheat gently on the hob before serving, and sprinkle over the thyme leaves, if using.