In a bowl, combine Sweetened Condensed Milk, double cream, Mascarpone cheese and marsala . Mix until the mixture is well combined.
Dip sponge fingers in the brewed coffee. Arrange half of the biscuits over the bottom of 30x24 cm large plate.
Spread half of cheese mixture over the finger biscuits in the large plate. Dust with Cocoa powder.
Repeat the layering process with the cream mixture being the last layer. I have used a piping bag to finish off the last layer. Alternatively you can use a spatula to spread the leftover cream mixture. Dust with cocoa powder and chill for minimum 3 hours before serving or over night preferable