Finely grate the Parmesan. Line a 900g loaf tin with clingfilm.
In a medium saucepan, get the water boiling with the salt and bay leaf, then tip in the polenta and stir. Let it cook for 3 minutes, stirring occasionally. When all the water has been absorbed, remove the bay leaf and beat in the 40g butter and Parmesan. Pour the polenta into the lined loaf tin so that it is about 1½cm deep