Prepare the sweetened condensed milk. In a medium saucepan, combine milk, cream, and sugar. Cook at medium heat until the mixture starts to simmer. Simmer for 30-40 minutes, stirring occasionally, until thickened. Remove from heat and set aside
In a medium saucepan, combine coconut milk, cinnamon stick, cloves, ginger, and star anise. Simmer the mixture for 10 minutes to allow all the aromatics to infuse into the coconut milk. Remove from heat and strain the mixture into a large pitcher.
Add to the pitcher, the sweetened condensed milk, half-and-half, rum, ground cinnamon, and nutmeg. Mix the mixture until well combined. Place in the refrigerator to rest for 2 hours or overnight. When ready to serve grate nutmeg over each glass.
Coquito makes a great holiday gift. Decorate a clean and sterilized glass bottle and add coquito to it. Enjoy!