Preheat your oven to 350 degrees Fahrenheit.
Slice your challah loaf into thick pieces.
In a big bowl, whisk together the eggs, milk, cinnamon, and vanilla.
Arrange the bread slices in a deep, oven-safe dish (we recommend a dutch oven or a similar circular dish with high sides, around 12-14 inches in diameter).
Pour the egg mixture over the challah slices, ensuring an even distribution. Cover and let it soak for at least 30 minutes or overnight.
Remove the cover and bake for 35-40 minutes or until most of the liquid is absorbed.
In a separate pan over medium-high heat, melt the butter.
Add the brown sugar, heavy cream, salt, and vanilla to the melted butter. Whisk until thoroughly combined. Reduce the heat to medium and let it cook for 2-3 minutes until it resembles a caramel sauce.
Slice the bananas and add them to the caramel sauce. Reduce the heat to low and let it simmer for 1-2 minutes until the bananas slightly soften. Spoon the caramel sauce and bananas over the challah slices.