01 - Preheat the oven to 350°F. Grease and line an 8x12-inch baking pan with parchment paper.
02 - Using an electric mixer, beat the softened butter and caster sugar together until pale and fluffy, approximately 3-4 minutes.
03 - Add the eggs one at a time, beating well after each addition. Mix in the vanilla extract until fully incorporated.
04 - Gently fold in the sifted self-raising flour and milk in alternating additions, mixing until just combined. Be careful not to overmix.
05 - Spread the batter evenly into the prepared pan. Bake for 12-15 minutes until a toothpick inserted in the center comes out clean.
06 - Allow the sponge to cool in the pan for 10 minutes, then turn it out onto a wire rack to cool completely.
07 - While the sponge cools, dissolve the jelly crystals in boiling water, stirring until fully dissolved. Stir in the cold water, then pour the mixture into a shallow dish. Refrigerate for 45-60 minutes until it reaches a semi-set, syrupy consistency.
08 - Using a sharp knife, cut the completely cooled sponge into 24 equal squares.
09 - Whip the heavy cream with powdered sugar and vanilla extract until firm peaks form.
10 - Spread a spoonful of whipped cream between two sponge squares, sandwiching them together. Repeat with remaining squares to make 12 filled cakes.
11 - Dip each sandwiched cake into the semi-set jelly, coating all sides evenly. Allow excess jelly to drip off, then immediately roll in desiccated coconut to coat completely. Place on a wire rack.
12 - Refrigerate the coated cakes for at least 30 minutes to allow the jelly to fully set before serving.