In a large mixing bowl, whisk together the flour, sugar, salt, and baking powder. In another bowl, mix the warm milk, eggs, melted butter, and vanilla extract. Gradually combine wet and dry ingredients to form a soft dough. Knead for about 5 minutes until smooth.

Transfer the dough to a greased bowl, cover with a damp cloth, and let it rise in a warm area for about 1 hour or until doubled in size.

In a saucepan over low heat, combine the milk, sugar, and egg yolks. Stir continuously until the mixture thickens enough to coat the back of a spoon. Remove from heat and let cool slightly.

Punch down the risen dough, roll it out into a rectangle, and spread the custard evenly. Roll up the dough tightly from one side and seal the edges.

Place the rolled dough seam-side down on a greased baking sheet, cover with a towel, and let it rise for another 30 minutes.

Preheat the oven to 350°F (175°C) and bake the bread for 25-30 minutes or until golden and hollow-sounding when tapped.

Let the bread cool for 10 minutes in the pan before transferring to a wire rack. Slice and enjoy your warm or chilled bread, optionally dusted with powdered sugar.