In a small saucepan, combine sugar and water over medium heat, stirring until the sugar dissolves completely.
This should take about 3-4 minutes.
Increase the heat to medium-high and stop stirring.
Let it boil until the mixture turns a deep amber color.
Carefully remove from heat and slowly add the heavy cream while stirring.
It might bubble up, so pour gradually to avoid splattering.
Add vanilla extract and stir until smooth.
Return to low heat and simmer for about 5 minutes, stirring occasionally.
Remove the sauce from the heat and let it cool before transferring it to a jar.
The sauce will thicken as it cools.