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Put the egg yolks, icing sugar, coffee and whisky into a metal bowl and whisk over a hot bain-marie with a hand whisk or electric mixer until the mixture is thick and foamy and has doubled in volume. Remove from the heat and continue beating for a short while.
Roughly crumble the sponge fingers and put into the glasses. Sprinkle with coffee and whisky and fill up with zabaione. Serve immediately.