In a large bowl, combine coconut milk, condensed milk, egg yolks, and rum. With the wire whisk, break the yolks and stir until it's all well combined.Sieve the mixture into the saucepan to discard undissolved solids.
Step 2: Simmer
Take to the stove and heat to low temperature, stirring constantly until the liquid reaches a temperature of 165°F [73.89 °C] and maintains it for 10 minutes (15-20 minutes in total). It should not reach a boil because the egg yolks would overcook and ruin the texture.
Step 3: Cool
Add the ground nutmeg and stir until it's combined. Remove from the heat and stir for about 3 minutes to lower the temperature slightly. Using a funnel, pour into the clean bottle and screw the cap.Let it cool to room temperature.
Step 4: Chill and store
Chill in the fridge before serving (about 4 hours).You can store it in the refrigerator for up to 4 days if it's kept chilled at all times.