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Put 3 of the unpeeled bananas on the grill over indirect heat and cook until the skins are dark brown and the insides soft, about 15-25 mins. Cool, peel and mash, then mix with the mascarpone in a bowl. Combine the caramel with ½ tsp salt. Peel and slice the remaining bananas.
Divide half the mascarpone, meringue pieces, banana slices and caramel between six dessert bowls, then repeat the layers until everything has been used up. Sprinkle over the walnuts and serve immediately.