Preheat oven to 350 degrees F. In large bowl, combine cake mix, water, 3 eggs, oil and 1/3 cup sweetened condensed milk. Beat on low speed until moistened, then beat on high speed 2 minutes.
Pour into well-greased and floured 13 x 9-inch baking pan. Bake 40 to 45 minutes or until wooden toothpick inserted near center comes out clean.
In small saucepan, combine remaining sweetened condensed milk, egg yolk and butter. Over medium heat, cook and stir until thickened, about 6 minutes. Add pecans, coconut and vanilla; spread over warm cake. Store leftovers covered in refrigerator.