Combine cinnamon and sugar in a small bowl. Set aside.
Remove crust and roll bread thin. Blend together cream cheese, vanilla, egg
yolk, and sugar. Spread mixture on bread and roll bread into a log. Dip
the log into butter and roll in cinnamon/sugar mixture.
Cut each log into 3 pieces and place on a cookie sheet. At this point you
can freeze the logs. When you want to serve them, thaw for 10 minutes
before baking.