Put the Cheddar into a mixing bowl, then sift the flour and mustard powder into the bowl. Add the butter, then rub the cheese, butter and flour together until the butter is broken up and covered in flour and the mixture looks like fine breadcrumbs. Add the egg yolk to the mixture and stir with a wooden spoon until you have a stiff dough.
Roll out the dough on a well-floured surface until it is about 5 mm (¼ inch) thick. Take a sharp knife and cut the dough into about 15 long strips, about 1 cm (½ inch) thick. Pick up each strip carefully and twist it gently before laying it on a baking sheet lined with nonstick baking paper.
Bake the twists in a preheated oven, 220°C (425°F), Gas Mark 7, for 8–12 minutes until golden brown, then remove them from the oven and allow to cool on the baking sheet.