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Heat oven to 180C/160C fan/gas 4. Butter 2 x 20cm springform cake tins and line with baking parchment. Set aside 2 tbsp of the coffee for the filling.
Beat the butter, flour, sugar, baking powder, eggs, vanilla and half the remaining coffee in a large bowl with an electric whisk until lump-free. Fold in the finely chopped walnuts, then divide between the tins and roughly spread. Scatter the roughly chopped walnuts over one of the cakes. Bake the cakes for 25-30 mins until golden and risen, and a skewer poked in comes out clean. Drizzle the plain cake with the remaining coffee. Cool the cakes in the tins.
Meanwhile, make the filling: beat together the icing sugar, cream and mascarpone, then fold in the reserved 2 tbsp coffee. Spread over the plain cake, then cover with the walnut-topped cake and dust with a little icing sugar.