In your breadmaker pan or stand mixer bowl, add the water, egg, and shortening.
Add the flour, sugar, milk powder, yeast, bread improver, and salt.
Transfer the breadmaker pan to your breadmaker, and start the Dough cycle. In my Kenwood BM450 this program takes 1 hour 30 minutes.
If using a stand mixer with the dough hook attachment, mix at the lowest speed until a shaggy dough forms, about 2 to 3 minutes. Increase the speed up one level and continue kneading, until the dough can be stretched until transclucent without tearing, about 15 minutes.
Transfer the dough to a clean work surface.
Divide the dough into 12 equal-sized pieces.
Working with one piece of dough at a time, shape and roll into a smooth ball.
Roll the dough into a 4- by 6-inch rectangle.
Spread with 1 heaped tablespoon kaya, to taste.
Starting from the bottom edge, roll upwards into a tight log.
Arrange the rolls in a lightly greased baking tray or lined with parchment.
Cover and let rest, until doubled in size, 30 to 40 minutes.
Preheat oven to 180 degrees C (fan 160 degrees C). Place the rack on the bottom rung of the oven.
Transfer the baking tin to the oven and bake, until rolls are golden brown, 25 to 30 minutes.
Let cool on a wire rack. Enjoy!