Start by preparing the sauce. Place the shallots with the vinegar and water into a small sauce pan. Reduce the liquid by half, place into a flameproof bowl and allow to cool slightly (otherwise the egg yolk you add next will scramble). Now add the egg yolks, lemon juice and cayenne pepper. Place the bowl over a pan of steaming water and whisk continually until a thick creamy consistency. Remove bowl from the pan and stir in the butter in a thin stream. Add the chives and season with salt, set aside and keep warm.
Rinse the mackerel fillets under cold running water and pat dry with kitchen paper. Bring 1 litre /1¾ pint of water to the boil in a large shallow pan. Add 1 tsp salt, reduce the heat then add the mackerel fillets and poach for 3-4 minutes turning half way through. Remove the mackerel fillets carefully from the pan with a fish slice, briefly allow water to drain off. Arrange the mackerel fillets on preheated plates, using 2 per portion, and serve with the chive and butter sauce.
Serve with boiled potatoes.
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