Stir first 3 ingredients together in a saucepan. Add butter, and cook, stirring constantly, over medium heat until butter is melted and mixture begins to boil. Cook, stirring constantly, 3 minutes or until mixture is slightly thickened. Remove from heat, and stir in vanilla. Serve warm.
I made this sauce to go with The Barefoot Contessa Croissant Bread Pudding for Thanksgiving... AMAZING sauce!!