Put the cream in a saucepan and bring to the boil. Set aside.
Combine the sugar and water in a saucepan and bring to the boil. Use a brush dipped in cold water and brush the inside of the saucepan, brushing just about the level of the simmering sauce. Cook over high heat until the mixture is golden brown.
Remove from the heat and slowly whisk in the reserved cream. Return to the boil and cook over low heat for 2 to 3 minutes. Stir in the vanilla.