In a large bowl, combine warm milk and sugar. Sprinkle yeast over the top and let sit for 5–10 minutes, until foamy.
Add the egg, softened butter, and salt; mix well.
Gradually add flour, one cup at a time, until a soft dough forms.
Turn the dough onto a lightly floured surface and knead for 8–10 minutes, until smooth and elastic. Place in a greased bowl, cover, and let rise in a warm place for 1–1½ hours, or until doubled in size.
Step 3: Assemble the Loaf
Gently punch down the risen dough.
Roll it into a rectangle about 10 × 14 inches.
Spread the chilled custard evenly over the dough, leaving a 1-inch border on all sides.
Roll tightly from the long side into a log, pinching the seam to seal.
Place seam-side down in a greased 9 × 5-inch loaf pan.
Cover loosely and let rise for 30–45 minutes.
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