That's kataifi, a vermicelli-like pastry I found in the freezer at Haig's grocery, right next to the fillo dough.
Following Claudia Roden's instructions, we tossed it with a half pound of melted butter, spread half of it in a big cake pan so it resembled a bird's nest. Filled the nest with milk pudding and
topped with the rest of the kataifi. Baked. Unmolded. Drenched with a syrup flavored with orange flower water.
Basically, that's the m.o. with all these Middle Eastern dessert: you sweeten after baking. I like. I like too much. And this one, a recipe from Claudia Roden's mother, was my favorite.
Sometimes those nutty baklava-like pastries are too sweet, and the fillo gets soggy, like damp paper towel. But this was creamy -- the pudding absorbs the syrup better than nuts -- and the kataifi stayed crispy, like shredded wheat before you add milk. But, well obviously, better.