Grease a 13x9 inch baking pan with vegetable shortening and line it with parchment paper so that the paper overhangs the edges of the pan (the shortening will help the paper stick to the sides of the pan).

Pour the cashews and semisweet chips into the pan and pat down evenly so they cover the bottom in a single layer.

Add the butter to a large pot and place over medium heat. Add the brown sugar, corn syrup and water. Cook mixture until it comes to a boil, stirring occasionally. When the mixture boils stir in the sweetened condensed milk. Cook, stirring constantly until a candy thermometer reads 248°F.

Remove the pot from the heat and add the vanilla extract; stir. Pour the caramel into the prepared pan without scraping out the bottom. Let the caramel cool slightly before transferring it to the refrigerator. Let chill until firm.

Lift caramel out of the pan by the overhanging parchment paper. Cut into pieces. If the caramel is too firm, allow it to stand at room temperature until soft enough to cut.

Store pieces in a tin between sheets of waxed paper, or wrap each cut caramel in its own waxed paper wrapper.