In a small bowl, dissolve yeast in warm water. In a large bowl, combine 2 cups flour, sugar and salt. Cut in butter until crumbly. Stir in the yeast mixture, milk and egg yolks. Add enough remaining flour until mixture forms a soft dough. Cover and refrigerate overnight.
In a small bowl, combine the filling ingredients; set aside. Punch dough down. On a floured surface, roll into a 13-in. x 10-in. rectangle. Transfer to an ungreased baking sheet. Spread filling over dough to within 1 in. of edges.
Starting with a long side, roll just to the center of the rectangle; repeat with remaining side, meeting in the middle.
With scissors, cut from outside edges to two-thirds of the way toward center at 1-1/2 in. intervals. Separate strips slightly; twist to allow filling to show. Cover and let rise in a warm place until doubled, about 1 hour.
Bake at 350° for 20-25 minutes or until golden brown. Remove from pan to a wire rack to cool. For glaze, combine the confectioners' sugar, milk and vanilla; drizzle over coffee cake. Sprinkle with almonds. Yield: 1 loaf (12 slices).