In a saucepan, bring the white wine, white wine vinegar and water to the boil for the 'reduction'.
Peel the shallot and cut into half rings. Add the shallot to the liquid and season with salt, pepper, a sprig of thyme and a bay leaf. Let it boil down.
Strain the reduction and put it back on the fire. Let it boil down further. Add a splash of cream.
Remove the stems and finely chop the capers.
Cut the cold butter into cubes and stir with a whisk through the reduction until it becomes a nice, lightly bound sauce. Season with salt and pepper. Add the chopped capers.