Preheat oven to 200°C (180°C fan-forced), lightly grease and line baking trays with baking paper.
In a small bowl mix together the cheddar, mustard, chives, salt and pepper until well combined.
Carefully spread the cheese mixture over half the pastry, then fold the other half of the pastry over the cheese mixture, pressing down gently to encase the cheese filling.
Cut across the short side of pastry in 5mm thick strips, then, holding each end, twist each strip to create a spiral. Place pastry spirals on prepared baking trays 3cm apart.
In a small bowl beat the egg yolk and milk together until well combined. Brush each pastry spiral with the egg wash. Cover with plastic wrap and chill in the refrigerator for 30 minutes.
Bake in pre-heated oven for 20 minutes or until pastry is puffed and golden. Remove to a cooling rack, allow to cool.
Keep in an airtight container and consume within a month.