- Preheat oven broiler.
- Line a baking sheet with aluminum foil. Place pepper halves, skin up, on sheet. Broil for 15 minutes, or until pepper skins blacken. Transfer peppers to a sealable plastic bag. Let sit for 10 minutes. Remove skin from peppers. Reserve.
- Place ham slices on a work surface. Arrange pepper on ham to cover slices entirely.
- Place a leek at one end of each ham slice and roll up. Arrange rolls in a single layer, seams down, in a 20 cm (8-inch) square baking pan. Melt butter in a small saucepan over medium heat. Whisk in flour and cook for 1 minute. Add milk gradually and cook until sauce becomes smooth and thick.
- Add nutmeg and pepper to taste, and stir sauce well. Reduce oven temperature to 180°C (350°F). Pour sauce onto ham and leek rolls; sprinkle Parmesan cheese and rosemary on top. Bake for 15 minutes or until cheese is golden.
- Serve as an appetizer with a salad of mixed vegetables.
: To blanch leeks, simply plunge into a saucepan of boiling salted water and cook for 5 minutes or until tender. Drain and reserve.