Place the veloute in a saucepan and bring to a simmer; reduce slightly.
Beat the yolks and cream together in a stainless steel bowl. Temper the liaison by slowly adding a small amount of the hot veloute; repeat until you've incorporated about a third of the sauce into the liaison. Slowly stir the liaison back into the pan.
Reheat to a very low simmer. Do not bring to a boil. Add the lemon juice, salt and pepper to taste. Strain through cheesecloth.
This sauce can also be made with chicken veloute if it's all you have on hand.