Beat the egg yolks with the sugar until frothy and warm in a water bath. Slowly stir in the cream, vanilla sugar and half of the marsala. Stir over the water bath until the consistency is creamy and thick. Remove from heat and continue stirring until the mixture cools. Pour through a sieve to avoid any lumps.
Add the rest of the marsala and brandy. Fill into bottles and close them tightly. Shake well. Let it mature for around 6 weeks, shaking it from time to time.
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