PREPARE cake batter according to package directions; SET aside.
In a small mixing bowl, BEAT cream cheese and sugar until smooth; ADD eggs; BEAT on low speed just until combined.
POUR half the cake batter into a greased 13 x 9 x 2-inch baking dish; gently POUR cream cheese mixture over batter; gently SPOON remaining batter over top; SPREAD to edge of dish.
BAKE at 325° until a toothpick comes out clean, about 70-75 minutes; COOL on a wire rack for 1 hour.
In a heavy saucepan over medium-low heat, COMBINE sugar, milk, butter and egg yolks.
COOK, STIRRING, until thickened and mixture reaches 160°; REMOVE from heat.
STIR in vanilla; FOLD in coconut and pecans.
COOL until frosting reaches spreading consistency; FROST cooled cake.
Refrigerate leftovers.
Per Serving (excluding unknown items): 530 Calories; 29g Fat (47.6% calories from fat); 7g Protein; 64g Carbohydrate; 2g Dietary Fiber; 144mg Cholesterol; 404mg Sodium. Exchanges: 0 Grain(Starch); 1/2 Lean Meat; 0 Fruit; 0 Non-Fat Milk; 5 1/2 Fat; 4 Other Carbohydrates.