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Put the milk in a small pan and gently heat until it’s steaming. Use a pestle and mortar to grind the saffron into a powder. Add this to the pan of milk along with the butter. Swirl to melt the butter, then set aside until lukewarm.
In a large bowl, mix the flour, caster sugar, 1 tsp salt and the yeast together, and make a well in the middle of the bowl. Pour in the milk mixture along with the egg. Mix together to form a sticky dough, then turn out onto the work surface and knead until smooth and elastic (this will take about 10 mins). Put the dough into a lightly oiled bowl and cover with oiled cling film. Set the bowl in a warm part of the house and allow to rise for about 1 hr until doubled in size.
Knock back the dough and divide into 12 equal portions. Cover the pieces with the oiled cling film while you make the rolls – this will stop the dough from drying out. Working with 1 piece of dough at a time, roll out into a 30cm-long strand. Roll up one end into the middle, turn over and roll the other end into the middle, forming the dough into an S-shape. Place the buns on a large (or 2 smaller) parchment-lined baking tray. Once all the buns are made, lightly cover with oiled cling film and prove until almost doubled in size (if making ahead, keep the dough in the fridge overnight and bake in the morning). While the buns prove, heat oven to 200C/180C fan/gas 6.
When ready to bake, brush the buns with beaten egg and press a currant into the centre of each spiral. Put the trays in the oven and bake for around 15 mins. Allow to cool before serving. These are best eaten on the day they are made but will keep for a couple of days.