Make cake and allow to cool. Slice into 1-inch slices.
For the pudding
In a bowl of a stand mixer add the cream cheese and beat until smooth.
Add the condensed milk, whole milk, and vanilla pudding mix. Beat on high for 2 minutes.
By hand, fold in half the Cool Whip.
Put it together
In a trifle dish, casserole dish, or individual glasses lay a single slice of cake on the bottom. Spoon pudding on top, and then add a layer of bananas. Repeat layers of cake, pudding, and bananas until you've used all the ingredients. Top with Cool Whip spread across the top.
Refrigerate for 30 minutes for it to set. Store any leftovers in the refrigerator.