Preheat the oven to 220ºC, and preheat a baking sheet to get very hot.
Cut the peppers in half, remove the seeds and place cut-side down on to a baking sheet. Slide into the preheated oven for about 30 minutes until charred and soft. Transfer to an oiled bowl, cover tightly with cling film, and leave until cool enough to handle. Remove the skin from the peppers and cut the flesh into thick strips.
Roll the pastry large enough to wrap the salmon. Place one fillet of salmon on to the centre of the pastry, season with salt and pepper, and arrange the peppers and basil on top. Season the second side of salmon, and place on top of the other one so it mirrors the underneath one.
Working on the pastry stretching out on either side of the salmon, make straight horizontal slits about 2.5 cm (1in) wide, cutting from the salmon outwards to the edge of the pastry. Lift the cut strips of pastry across the fish to form a plait. Start from the broadest end of the fish, alternating between each side. Brush with egg glaze. Carefully transfer to the hot baking sheet in the preheated oven, and bake for about 30-40 minutes until golden brown. Rest for 10 minutes before slicing.
To make the sauce, heat the cream, add the lemon juice, pesto and some salt and pepper. Add the basil just before serving to prevent discolouring. Serve the salmon hot in slices with the hot sauce.