1) Preheat oven to 180 C/Gas 4.
2) In a large mixing bowl, whisk together all ingredients except for the donut cubes and butter rum sauce. Add the donut cubes and toss until they have absorbed as much of the liquid as possible. Pour the mixture into a casserole dish and bake for 1 hour.
3) Serve with butter rum sauce.
For the butter rum sauce:
1) In a saucepan, melt the butter and gradually stir in the icing sugar. Add rum and heat until bubbly.
2) Pour over each serving of donut bread pudding.