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1
Prepare the loaf: Line a baking sheet with parchment paper. Combine the butter, almonds, sugar, cocoa powder, egg yolks, cinnamon, flour and cayenne in a food processor and pulse to make a paste.
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2
On a floured surface, roll out the dough into a 10-by-18-inch rectangle. Spread the cocoa mixture over the dough, leaving a 1-inch border on one of the long sides. Brush the clean border with water. Tightly roll the dough into an 18-inch log, rolling toward the clean border; pinch the seam to seal. Place seam-side down on the baking sheet; refrigerate until firm, 30 minutes.
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3
Slide the parchment off the baking sheet and cut the log in half lengthwise with a chef's knife. Slide back onto the baking sheet and pinch one end together with the cut sides facing in. Twist the two halves together, crossing one over the other a few times. Pinch the end together, then tuck both pinched ends under the loaf slightly. Cover the loaf loosely with plastic wrap and set aside in a warm place until plump, 30 minutes.
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4
Preheat the oven to 350 degrees F. Uncover the loaf and bake, rotating the baking sheet halfway through, until golden brown (a thermometer inserted into the middle should register 170 degrees F to 175 degrees F), 30 to 35 minutes.
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5
Make the topping: Combine the sugar and cinnamon in a bowl. Brush the warm loaf with the melted butter and sprinkle with some of the cinnamon sugar. Let cool, then sprinkle with more cinnamon sugar.
