Gently melt the butter and cream cheese together in a small pot over low heat, whisking to combine.
Add 1/4 cup of the heavy cream, turn heat up to medium low, and stir until combined and hot. Add 1/4 of the Parmesan cheese and stir until melted. Alternate adding the heavy cream and Parmesan cheese in the same fashion until all is incorporated.
Separate one egg and beat the yolk. When the sauce is hot and bubbling lazily, add the egg yolk while whisking. Turn heat a little lower and continue whisking until the sauce coats the back of a spoon about 1-2 minutes more. Adjust seasonings. Thickens as it cools!
Makes about 1 1/2 cups. Serves 4 at approximately 1/3 cup per serving.