Drain the orange segments well.
Place the egg yolks, sugar and cinnamon in a bowl set over a saucepan of simmering water and whisk until mixture is pale yellow and slightly thickened.
Add half of the champagne and continue to whisk until foamy.
Add the remaining champagne and beat for a further 5 minutes.
Divide the orange segments between 4 serving glasses, spoon the sauce over the oranges.