1. Preheat your oven to 350°F (175°C).
2. In a mixing bowl, combine the milk, sugar, beaten eggs, vanilla extract, cinnamon, and nutmeg.
3. Add the cubed bread to the mixture and let it soak for about 10 minutes.
4. Pour the mixture into a greased baking dish.
5. Bake for 45 minutes or until the top is golden brown and the pudding is set.
6. While the pudding is baking, prepare the vanilla sauce. In a saucepan, combine the heavy cream, sugar, and butter. Cook over medium heat until the mixture thickens, stirring constantly.
7. Remove from heat and stir in the vanilla extract.
8. Serve the bread pudding warm with the vanilla sauce drizzled on top.