This Tres Leches cake is so light it practically melts in your mouth. The subtle flavors of coconut, cinnamon and rum make this a cake of pure indulgence. Finish with a thick layer of sweetened whipped cream and a dusting of cinnamon. Tres Leches Cake gets its name from a mixture of three kinds of milk, typically evaporated, condensed, and whole milk or cream which is then poured over a baked sponge cake. A sponge cake acts just like its name implies, it soaks up that heavenly milk mixture beautifully.