In a large saucepan, saute onion in oil. Stir in the broth, carrots, curry, thyme and bay leaf. Bring to a boil. Reduce heat; simmer, uncovered, for 25-30 minutes or until carrots are tender.
Discard bay leaf. Cool slightly. Transfer half of the soup to a blender; add half of the cream cheese. Cover and process until smooth; return to the pan. Repeat with remaining soup and cream cheese. Heat through. Stir in the parsley, salt and cayenne if desired. Yield: 4 servings.