Break the sponge into small pieces and place in the bottom of a serving dish. Squeeze the citrus, you need 200ml of juice, then mix with the sherry. Pour the juice and sherry evenly over the sponge.
Warm the cream and vanilla in a medium saucepan, but don’t boil. Beat the yolks and sugar together then pour the cream over and combine.
Rinse the pan then return to the heat, pour in the custard and cook, stirring constantly with a wooden spoon until the custard lightly coats the back of the spoon.
Peel and slice the bananas and stir them into the custard then pour over the sponge and leave to cool. Refrigerate for at least an hour, then whip the cream until thick and then place in large spoonfuls around the edge.