01 - Preheat oven to 350°F. Grease and line an 8x12-inch baking pan with parchment paper.
02 - Using an electric mixer, beat softened butter and caster sugar on medium speed until pale and fluffy, approximately 3 to 4 minutes.
03 - Add eggs one at a time, beating well after each addition. Mix in vanilla extract until fully incorporated.
04 - On low speed, alternately fold in sifted self-raising flour and milk in three additions, beginning and ending with flour. Mix until just combined, being careful not to overwork the batter.
05 - Spread batter evenly into the prepared pan. Bake for 12 to 15 minutes until a skewer inserted into the center comes out clean and the top springs back lightly when touched.
06 - Allow the sponge to cool in the pan for 10 minutes, then turn out onto a wire rack to cool completely.
07 - While the sponge cools, dissolve jelly crystals in boiling water, stirring until fully dissolved. Stir in cold water. Pour the mixture into a shallow dish and refrigerate for 45 to 60 minutes until it reaches a softly set, syrupy consistency.
08 - Once the sponge is completely cool, trim the edges if needed and cut into 24 equal squares using a serrated knife.
09 - Whip heavy cream with powdered sugar and vanilla extract until firm peaks hold their shape.
10 - Spread a generous spoonful of whipped cream between two sponge squares, pressing gently to sandwich them together. Repeat to form 12 filled cakes.
11 - Working quickly, dip each sandwiched cake into the semi-set jelly, coating all sides evenly. Allow excess jelly to drip off, then roll immediately in desiccated coconut, pressing gently to adhere. Place on a wire rack to set.
12 - Refrigerate the finished cakes for at least 30 minutes to allow the jelly to fully set before serving.