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To peel the chestnuts, cut a nick in each one on the flat side. Put 6 on a plate and microwave for 1 min on High. Then, wearing rubber gloves, peel off the outer skin and inner brown membrane. Continue until all the chestnuts are peeled. (If you don’t have a microwave, you can roast the chestnuts in the oven at 200C/180C fan/gas 6 for 15-20 mins.) Put them in a pan, cover with water and bring to the boil, then simmer for 25 mins. Drain well.
Pare thin strips of zest from the orange using a vegetable peeler. Cut the vanilla pod in half lengthways. Put the orange strips, vanilla pod, sugars and 400ml water in a pan and bring slowly to the boil, stirring to dissolve the sugar. Simmer for about 15 mins until syrupy. Remove from the heat and stir in the Cointreau.
Pack the prepared chestnuts into sterilised jars (see below) and pour over the syrup to cover. Seal the jars. The chestnuts will keep in a cool, dry place for up to 6 months.