Prepare the lemon sauce.

1. Combine the cornstarch and water in a small bowl. Mix well.
2. Whisk the egg yolks, sugar, lemon zest and lemon juice together in a pan over low heat.
3. Stir constantly for about 4 minutes until slightly thickened.
4. Stir in the cornstarch mixture and continue stirring for 3 minutes or more until thick enough to coat the back of a spoon.
5. Remove from the heat and add the butter, one cube at a time.
6. Stir until smooth. Transfer to a container.
7. Press a sheet of plastic wrap on the surface of the curd to prevent a skin from forming.
8. Refrigerate until ready to serve. Heat in the microwave quickly before serving with the bread pudding.

To make the bread pudding:

1. Heat the milk with the sugar in a pan on low heat (or in a microwave) and stir until completely dissolved.
2. Remove from the heat and let cool for 5 minutes.
3. Transfer this mixture to a bowl and mix in the heavy cream.
4. Whisk in the eggs and egg yolks gradually until well combined.
5. Add the vanilla, lemon juice and lemon zest. Mix well. Set aside.
6. In another bowl, beat the cream cheese together with the sugar and lemon juice. Set aside.
7. Butter an 8×8 inch square baking dish. Arrange half the amount of bread cubes in a single, even layer.
8. Drop dollops of the cream cheese on top of the bread cubes. Pour about 3/4 cup of the custard over the bread cubes.
9. Top with the remaining half of bread cubes.
10. Drop dollops of the remaining cream cheese over the bread.
11. Carefully pour the rest of the custard mixture evenly over the whole thing. Set aside for 1 hour at room temperature or overnight in the fridge, covered and let come to room temperature for 30 minutes before baking.
12. Bake at 350 degrees for 45-50 minutes until the pudding is set. Best served warm drizzled with the lemon sauce.