Put the flour, salt, cayenne pepper, mustard powder and butter into a food processor and mix together until it resembles fine breadcrumbs. Add the grated cheeses and 1teaspoon cold water, then blend briefly using the pulse button until the mixture comes together into a ball.
Tip the ball of dough onto a lightly floured surface, divide in half and, with lightly floured hands, shape it into two 3cm thick logs. Wrap them first in squares of baking paper, then cling film and chill in the fridge for 3-4 hours until very firm.
Preheat the oven to 180°C/fan 160°C/gas 4. Unwrap the logs, brush with the beaten egg, then roll in the chopped walnuts, pressing them on firmly by hand. Cut the logs into 4-5mm slices and place the biscuits about 3cm apart on baking trays lined with baking paper.
Brush the tops of the biscuits very lightly with the beaten egg, then sprinkle some with the chopped rosemary and some with sea salt flakes. Bake for 11-12 minutes until richly golden brown. Remove and leave to cool on the baking trays, then store in an airtight tin.
175g plain flour, plus extra to dust
½ level tsp salt
½ teaspoon cayenne pepper
½ teaspoon English mustard powder
150g unsalted butter, chilled, cut into small pieces
75g mature cheddar, finely grated
75g Parmesan, finely grated
1 medium free-range egg, beaten
75g walnut pieces, finely chopped
1 tablespoon finely chopped fresh rosemary leaves
Sea salt flakes for sprinkling