Pour the cream into a small saucepan and bring just to a simmer over medium heat. Remove the pan from the heat, add the Grand Marnier, orange zest and vanilla extract, cover, and let sit for about 10 minutes.
Meanwhile, in a medium mixing bowl lightly whisk the egg yolks, 2 Tbs. of the sugar, and a pinch of salt just to combine. Set aside.
With an instant-read or a candy thermometer, check the temperature of the cream; it should be no higher than 165°F. (If it is, let cool to 165°F before proceeding.)
Lightly whisk about 1/4 cup of the cream into the yolk mixture and stir for about 30 seconds; this tempers the yolks. Then gently whisk in the remaining cream, stirring for about 15 seconds to blend. Use a light hand–you don’t want to make the mixture frothy or the baked custards will have a foamy-looking surface.
Set a fine sieve over a large Pyrex measuring cup or a heatproof bowl with a spout. Pour the custard base through the sieve to strain out any solids.
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