Whisk together the condensed milk and whole milk until smooth.
Add the pudding mix and whisk until lump free. Transfer to the fridge to let set for 10 minutes.
Whip the heavy cream until soft peaks.
Fold the cream into the pudding mixture and set aside.
Place ¾ cup of the cookies into the bottom of a glass 9x13 inch baking dish.
Spoon half of the pudding mixture on top of the cookies and spread out with a spoon evenly.
Arrange the sliced banana on top and add another ¼ cup of cookies.
Spread the remaining pudding mix on top and spread to evenly cover.
Roughly crush the remaining cookies and sprinkle over the surface of the pudding.
Serve at once or store in the fridge until ready to eat.