Combine first 4 ingredients in a medium bowl. Beat with a mixer at medium speed for 2 minutes or until mixture begins to thicken.
Arrange wafers on bottom of an 8-inch square baking dish. Peel and slice bananas. Arrange half of banana slices over wafers. Spread half of pudding mixture over banana slices, and top with remaining banana slices. Spread remaining pudding over banana slices. Spread whipped topping over pudding. Cover and refrigerate 8 hours.
Drizzle caramel topping over pudding, and sprinkle with coconut before serving.