Have a 1-inch deep, rimmed dish or pan that fits the bread loaf snugly, nearby.
Using a serrated knife, slice a very thin layer, about 1/16-inch, from the bottom of the loaf to expose the surface for better batter absorption.
Cut the top of the bread in 1-1/2-inch-thick slices, being sure not to cut all the way through and leaving about 1/2 inch of bread at the bottom uncut.
Then turn the loaf 90 degrees and cut 1-1/2-inch slices in the other direction to make a grid-like pattern, again, not cutting all the way through.
Transfer the cut loaf to the dish.
In a medium bowl, whisk the eggs, sugar, cream, melted butter, rum, vanilla and salt until well combined.
Slowly pour the batter into the loaf beginning in the center.
Gently peel back all the pieces to drench every crevice and the top of the loaf with the batter.
Allow to soak for 30 minutes, at room temperature, or cover and refrigerate overnight.
Heat the oven to 350°F.
Line a baking sheet with parchment paper; set aside.
Spoon any excess batter, that has pooled into the dish, back into the loaf and over any dry patches of bread.
Carefully transfer the loaf to the lined baking sheet.
Place in pre-heated oven and bake until the loaf is deeply golden brown on top and the custard has set; about 1 hour.
Remove from the oven and dust with the nutmeg and confectioners’ sugar; serve immediately.
