Preheat oven to 350ºF.
Prepare 2 loaf pans by greasing the bottom with butter, shortening, or nonstick cooking spray and flour.
In a large bowl, combine all the dry bread ingredients: flour, sugar, brown sugar, baking soda, salt, cinnamon, and nutmeg.
Add the wet ingredients to the dry: oil, pumpkin, and water.
Divide the mixture evenly among the two prepared loaf pans and set aside.
In a separate bowl, combine all the ingredients for the filling: cream cheese, sugar, vanilla extract, and egg yolk. Mix until smooth.
Equally, spoon dollops of the cream cheese mixture over the pumpkin batter. Use a skewer or toothpick to swirl the cream cheese mixture over the top of the pumpkin batter. Be careful not to stir it into the batter.
Bake for 55-60 minutes, or until a toothpick inserted into the center comes out clean.
Allow to cool for 10 minutes in the pans, then remove from the pans to cool completely.