In a medium saucepan that will hold your mixing bowl, bring about an inch of water to a simmer.
In a medium, heat-proof bowl, whisk together egg yolks and sugar.
Place over top of simmering water, being careful not to let the bottom of the bowl touch the water.
Whisk continually until egg mixture is tripled in size and an instant read thermometer reads between 149℉ (65℃) and 158° F (70℃).
Remove from heat.
Wipe off bottom of bowl.
Cover with plastic wrap.
Refrigerate until cold, about an hour.
Stir in mascarpone and vanilla, mixing until smooth. Set aside.
Whip cream to stiff peaks.
Gently fold cream into mascarpone mixture.