The night before, slice the bolillos into 1/2 inch to 3/4 inch slices and let sit out overnight.
Next day, preheat oven to 375º F. Generously grease a 9×13 baking dish with butter. Set aside.
Heat the water, orange juice, zest, Pikoncillo(sugar), cloves, cinnamon sticks, and anise in a pot over medium heat, stirring until sugar is dissolved. Add raisins and let simmer for 5 minutes without stirring.
Spread the butter onto both sides of each slice of bread and arrange on baking sheet. Bake in preheated oven for 5 minutes, or until golden brown. Turn over and bake the other side for 5 minutes.
Line the base of the ovenproof dish with half the toast. Sprinkle over half of the cheese(both kinds) and nuts. Remove and discard cinnamon sticks and cloves from piloncillo syrup. Spoon 1/2 of raisin mix over toast. Repeat another layer, bake for 25 minutes or until golden brown.