Preheat oven to 350 degrees.
Grease a 2-quart baking dish.
Bring water to a full rolling boil.
Add grits; return to boiling point.
Cook, stirring constantly, until very thick, about 6 minutes.
Remove from heat.
Add butter or margarine and mix cheese, eggs, and pepper.
Stir into grits.
Pour into baking dish and bake 40 minutes or until lightly browned,