In a mixing bowl, combine warm water, whole milk, and granulated sugar. Sprinkle dry active yeast on top and let it sit for 5-7 minutes until frothy.

In a stand mixer, combine the yeast mixture with sugar, egg, and egg yolk. Gradually add kosher salt and all-purpose flour, kneading until smooth and elastic, about 8-10 minutes.

Gently fold in confetti sprinkles until evenly distributed.

Transfer to a lightly greased bowl and cover. Let rise in a warm area until doubled, approximately 1 hour.

Punch down dough and roll into a 16x12 inch rectangle.

Spread softened butter over the dough and sprinkle filling mixture evenly on top.

Tightly roll into a log and slice into 12 pieces. Place in a greased baking pan, cover, and let rise again for 30-45 minutes.

Preheat oven to 350°F. Bake for 30-35 minutes until golden brown.

Prepare frosting by beating cream cheese and unsalted butter until smooth. Gradually add powdered sugar until fluffy.

Spread frosting over warm rolls and garnish with confetti sprinkles.