1. Boil the sugar and water together until it forms a syrup at the thread stage. Remove from the heat, stir the coconut milk into the syrup mixing thoroughly. Beat the egg yolks and add them to the mixture, stirring constantly over low heat until thickened. Do not let it boil.
2. To serve, pour over sponge cake or lady fingers. The cake may be sprinkled with sherry before the sauce is poured.