Prepare all ingredients. Pour the milk and heavy cream into a saucepan and heat over medium heat. Do not boil; just warm it through.
In a bowl, whisk the egg yolks with the sugar and vanilla sugar until pale and fluffy. Gradually add the warm milk and cream mixture, whisking constantly. Pour the mixture back into the saucepan.
Cook over low heat, stirring constantly, for 5-7 minutes, or until the mixture thickens slightly. Be careful not to let it boil.
Pour the champagne into the egg mixture and stir well to combine the flavors.
Once well combined, strain the mixture through a fine-mesh sieve to remove any lumps. Pour the mixture into a bowl and let it cool to room temperature.
Refrigerate the mixture for at least 3-4 hours, or preferably overnight, to allow the flavors to meld and the parfait to set completely.
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