01 - Preheat the oven to 350°F. Grease and line an 8x12-inch baking tin with parchment paper.
02 - Using an electric mixer, beat the softened butter and caster sugar together in a large mixing bowl until pale and fluffy, approximately 3 to 4 minutes.
03 - Add the eggs one at a time, beating well after each addition. Stir in the vanilla extract until fully combined.
04 - Alternately fold in the sifted self-raising flour and milk in three additions, mixing gently until just combined. Avoid overmixing to keep the sponge light.
05 - Spread the batter evenly across the prepared baking tin. Bake for 12 to 15 minutes until the top springs back lightly when touched and a skewer inserted in the center comes out clean.
06 - Allow the sponge to cool in the tin for 10 minutes, then carefully turn it out onto a wire rack to cool completely.
07 - While the sponge cools, dissolve the jelly crystals in boiling water, stirring thoroughly. Stir in the cold water, then pour the mixture into a shallow dish. Refrigerate for 45 to 60 minutes until it reaches a semi-set, syrupy consistency.
08 - Once completely cooled, cut the sponge into 24 equal-sized squares using a sharp knife.
09 - In a chilled bowl, whip the heavy cream with powdered sugar and vanilla extract until firm peaks form. Take care not to overwhip.
10 - Sandwich pairs of sponge squares together with a generous spoonful of whipped cream, creating 12 filled cakes.
11 - Dip each assembled cake into the semi-set jelly, coating all sides evenly and allowing excess to drip off. Immediately roll in desiccated coconut, pressing gently to adhere. Place on a wire rack to set.
12 - Refrigerate the finished cakes for at least 30 minutes before serving to allow the jelly coating to fully set.