Skin the fillets of halibut. Butter an ovenproof pan and strew with the shallots. Place the fillets of fish on top, add the fish stock and cover with a lid or buttered paper or foil. Heat the stock until it just starts to tremble, then transfer to the oven and poach for about 4 minutes. When the fish is cooked, remove it from the stock, cover and keep warm.
Reduce the stock by two-thirds over a high heat. Put it with the egg yolks and sherry into a round-based bowl and place over a pan of simmering water but do not allow the water to touch the bottom of the bowl. Whisk this mixture continuously until it froths up and thickens. The sabayon is ready when it leaves a trail across itself that does not run back in (ribbon stage).