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Beat yolks and sugar 1 min until pale and thick. Add Marsala and place bowl over pan of simmering water, beating constantly until mixture thickens and triples in volume (12 minutes). Don't overcook - the yolks should be fluffy and soft. Remove from heat and stir occasionally for 15 min while cooling. Transfer to new bowl, cover and chill. In a cold bowl with cold beaters, whip the cream into stiff peaks. Fold a scoop of cream into the mascarpone cheese to lighten so it will blend easily. Fold in remaining cream, then the chilled zabaglione. Make a dipping liquid of the coffee, sugar, rum and vanilla. Cut the sponge cake into 3 by 1.5 inch rectangular strips. Dunk the pieces of cake into the coffee mixture, then arrange them in a single layer in the bottom of a shallow bowl or baking dish. When the bottom is covered with cake, spoon half the mascarpone custard on top and smooth over. Top with half the grated chocolate. Top with another layer of cofee-dunked cake, then with the remaining mascarpone custard. Cover decoratively with remaining grated (or shaved) chocolate. Chill at least 3 hours. Cut into squares or wedges to serve.