Using the Bain Marie method, place a bowl in a pan containing 3-4 cm of boiling water. Keep it on medium heat.
In that bowl, add sugar and egg yolks. Whisk continually while on medium heat till sugar melts and combine with egg yolks. Once you no longer feel the sugar grains, then it is done. Set the bowl aside to cool.
Whisk the double cream and then add mascarpone, a dash of vanilla as well as the sugar and egg yolks mixture
Dip your lady fingers in the coffee
Put a layer of cream, top it with the coffee soaked lady fingers then put another layer of cream and sprinkle cocoa powder on top.