Heat water in a saucepan and place a heatproof bowl over it.
In the bowl, continuously whisk together the egg yolks and sugar for 5 minutes, or until the mixture is thick enough to coat the back of a wooden spoon.
Remove the bowl from the heat and let the mixture cool.
In another bowl, whip the 35% cream.
Add the mascarpone cheese and vanilla to the egg mixture, then gently fold in the whipped cream using a spatula.
Briefly dip one ladyfinger at a time into the coffee.
Arrange a layer of ladyfingers in a 9 × 13-inch Pyrex baking dish until the bottom is completely covered.
Spread half of the mascarpone cream over the ladyfingers.
Briefly dip the remaining ladyfingers into the coffee and arrange them over the mascarpone layer.
Spread the remaining mascarpone cream on top. Smooth the surface and dust with cocoa powder.
Cover and refrigerate for 3 hours before serving.
Notes
It is very important not to soak the ladyfingers in the coffee for too long; otherwise, they will break more easily and become too saturated with coffee. The dipping should be done quickly.