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Heat the grill to its highest setting and bring a large pan of salted water to the boil. Wash the leeks, remove and discard the outer layers and add to the pan. Cook for 2 mins until starting to soften, then immediately transfer to a bowl of ice-cold water. Once cold, drain, pat dry and cut in half lengthways, put on a baking tray, cut-side down, rub over 2 tbsp of the oil and season.
Blitz the garlic and the anchovies in a mini food processor to form a paste. With the motor running, add the mustard, 2 tbsp lemon juice, the egg yolks and some seasoning, then gradually add the rest of the oil, drop by drop, until the sauce has thickened and emulsified. Stir in the Parmesan, taste for seasoning and add more lemon juice, if you like. Divide the dressing between two bowls. Add water to one bowl until it is a drizzling consistency. Store the other bowl in the fridge for another day – it works well with roast lamb or in sandwiches. Will keep in the fridge for 2 days.
Grill the leeks for 5 mins until charred, then transfer to a serving platter, scatter over the hazelnuts and parsley, and drizzle with the anchovy dressing.