In a large bowl, whisk together the sweetened condensed milk and cold water until fully combined, about 1 minute. Add the vanilla pudding mix and whisk continuously for 2 minutes until the mixture is smooth and no lumps remain. The pudding will thicken slightly as you stir. Cover and refrigerate for 3-4 hours until the pudding reaches a custard-like consistency—this resting time is crucial for proper texture development.

About 30 minutes before assembling, pour the heavy cream into a chilled bowl and whip with an electric mixer on medium-high speed until stiff peaks form—this takes about 3-5 minutes. I like to chill my mixing bowl and beaters beforehand; it helps the cream reach stiff peaks faster and stay stable. Gently fold the whipped cream into the chilled pudding from Step 1 using a rubber spatula, being careful to maintain the airy texture—use a folding motion rather than stirring to preserve the volume.

In a 9x13-inch baking dish (or similar size), create the first layer by breaking vanilla wafers into bite-sized pieces and spreading them evenly across the bottom—you'll use roughly 1/3 of the box. Arrange 1/3 of the banana slices over the wafers in a single, even layer. Spread 1/3 of the pudding mixture from Step 2 over the bananas, smoothing gently with an offset spatula. Repeat this layering process two more times (wafers, bananas, pudding) to create three distinct layers, ending with the pudding mixture on top. I find that slicing bananas into consistent 1/4-inch rounds prevents them from oxidizing too quickly and ensures even texture throughout the dish.

Sprinkle the ground nutmeg over the top layer for a hint of warmth and flavor. Cover the dish loosely with plastic wrap and refrigerate for at least 4-8 hours (overnight is ideal) to allow the flavors to meld and the wafers to soften slightly while maintaining some textural contrast. This resting time also helps the pudding set fully. Serve chilled directly from the dish, or portion into individual bowls. The pudding will keep refrigerated for up to 2 days.