Step 1

In a large saucepan, bring the water and milk to a boil. Whisk in the grits in a slow, steady stream. Add a generous pinch of salt and cook over moderately low heat, whisking frequently, until the grits are thickened and tender, about 30 minutes.

Step 2

Remove the saucepan from the heat and whisk both cheddar cheeses into the grits along with the cream cheese, piquillo peppers and cayenne; season with salt and black pepper. Scrape the grits into a serving bowl, garnish with thinly sliced scallions and serve.