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Beat together egg yolks and sugar until thick and pale.
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In a saucepan, combine milk and cream and bring to simmer, stirring.
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Add cream to yolks in a thin stream, whisking.
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Transfer custard to pan, stirring, and cook over moderately-low heat, until it coats back of spoon, but do not let it boil.
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Strain custard through a fine sieve into a metal bowl set over a larger bowl of ice and cold water.
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Stir in vanilla and let custard cool, stirring occasionally.
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Place plastic wrap directly onto surface of custard and chill until ready to use.