Combine milk, sugar, baking soda, and canela in a large pot and bring to a boil over medium-high heat.

Decrease the heat and cook for 30 minutes at a soft boil; it will reduce to about 3 cups. In a heatproof bowl, whisk the eggs yolks lightly by hand and slowly pour in 1 cup of the hot milk mixture, whisking continuously.

Return the mixture to the pot and cook over low heat, stirring often until the mixture has thickened slightly and resembles the consistency of half- and- half, 5 to 7 minutes.

Remove from the heat and immediately pour into a bowl placed in an ice bath to chill.

Discard the canela and gently whisk in the rum and vanilla.

Chill completely before serving.