Combine coconut milk, evaporated milk, sugar, cinnamon stick, allspice berries, cloves and baking soda in large saucepan set over medium-high heat; bring to a boil. Reduce heat to low. Let spices steep in milk mixture at a gentle simmer, for 8 to 10 minutes or flavors marry.
Meanwhile, beat egg yolks with electric mixer until thick and pale yellow. Gradually whisk in half the hot milk mixture into egg yolks. Pour into saucepan. Cook, stirring constantly with wooden spoon or spatula, for 3 to 5 minutes or until mixture thickens and coats back of spoon.
Remove from heat. Strain through fine-meshed sieve and remove cinnamon stick, allspice berries and cloves. Stir in rum and vanilla. Cool completely. Cover and chill in refrigerator for at least 6 to 8 hours and up to 3 to 5 days.
Pour into small glasses to serve and garnish with nutmeg and cinnamon stick.
• Substitute ground nutmeg with ground cinnamon, if desired.
• Use leftover egg whites for baking such as meringues, angel food cakes or pavlova.