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In a large bowl, combine coconut and bread crumbs and season with salt and pepper.
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Place flour, eggs, and bread crumb mixture into 3 separate bowls.
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Dredge the shrimp in flour and shake off excess.
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Next, dip the shrimp thoroughly in the egg and rub against the side of the bowl to lightly remove excess.
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Finally, coat the shrimp thoroughly with the bread crumb mixture.
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Lay out the shrimp so they do not touch on a parchment-lined baking sheet or platter until ready to fry.
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In a large Dutch oven, heat several inches of oil to 350 degrees F.
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Fry the shrimp in batches until golden brown and cooked through, about 3 to 4 minutes per batch. Be careful not to overcrowd shrimp in the oil while frying.
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Drain on paper towels.
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For the Dipping Sauce:
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Heat the marmalade in a small saucepan over low heat and thin with rum as desired.