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PREHEAT oven to 350°F. Prepare brownie batter as directed on package; spread into greased 13x9-inch baking pan.
BEAT cream cheese, sugar and vanilla in medium bowl with electric mixer on medium speed until well blended. Add egg and food colorings; mix just until blended. Pour over brownie batter; cut through batter with knife several times for marble effect.
BAKE 35 to 40 minutes or until cream cheese mixture is lightly browned. Cool in pan on wire rack. Cut into 32 squares.