State of the art soft x-ray spectroscopy techniques like Resonant Inelastic X-ray Scattering (RIXS) require diffraction gratings which can provide extremely high spectral resolution of 105-106. This problem may be addressed with a sliced multilayer grating with an ultra-high groove density (up to 50,000 mm-1) proposed in the recent publication [Voronov, D. L., et al., Proc. SPIE 6705, 67050E (2007)]. It has been suggested to fabricate such a grating by deposition of a soft x-ray multilayer on a substrate which is a blazed saw-tooth grating (echellette) with low groove density. Subsequent polishing applied to the coated grating removes part of the coating and forms an oblique-cut multiline structure that is a sliced multilayer grating. The resulting grating has a short-scale periodicity of lines (bilayers), which is defined by the multilayer period and the oblique-cut angle. We fabricated and tested a Sc/Si multilayer sliced grating suitable for EUV applications, which is a first prototype based on the suggested technique. In order to fabricate an echellette substrate, we used anisotropic KOH etching of a Si wafer. The etching regime was optimized to obtain smooth and flat echellette facets. A Sc/Si multilayer was deposited by dc-magnetron sputtering, and after that it was mechanically polished using a number of diamond pastes. The resulting sliced grating prototype with ~270 nm line period has demonstrated a dispersive ability in the 41-49 nm photon wavelength range with a diffraction efficiency of ~7% for the optimized 38th order assigned to the echellette grating of 10 μm period.