In a saucepan over low heat, whisk together the condensed milk, milk, coconut milk, egg yolks and cornflour. Heat gently, stirring constantly until thickened to a custard.
Remove from the heat and divide the custard in half. Mix the cocoa powder into one half and 200g coconut into the other. Let cool.
Dip the sponge fingers briefly in milk and make a single layer of biscuits in the bottom of a glass trifle bowl. Top with either the coconut custard or chocolate custard, then another layer of biscuits. Continue to alternate layers until all ingredients are used, then top with the whipped cream. Garnish with toasted coconut and chocolate shavings.