Pepper the fillet, wrap in Parma ham. Heat the oil, place the fillet seam-side down in the hot oil, fry for approx. 5 mins., turning frequently. Marinate for approx. 2 mins. on a rack (with an oven tray beneath) in the centre of an oven preheated to 180°C. Reduce the temperature to 100°C, marinate for approx. 30 mins. until the core temperature is 55°C. Remove and leave to rest for approx. 5 mins.
Bring the cream to the boil. Add the Parmesan, reduce over a low heat until thick and creamy, season with salt. Set aside a few basil leaves to garnish, finely chop the rest.