Dry-roast fennel seeds in a small frying pan over medium heat until fragrant (30 seconds; see notes). Transfer to a mortar and pestle and coarsely crush. Combine flour, butter, cheddar, 50gm pecorino, thyme, chilli, fennel seeds, ½ tsp freshly ground black pepper and ½ tsp salt in a food processor and pulse to combine. Mix egg yolk with 1 tbsp cold water in a small bowl. Add to food processor and pulse to combine. Turn out onto a lightly floured bench and bring together. Roll dough between 2 sheets of baking paper to a 4mm-thick rectangle.
Refrigerate for 1 hour to rest.
Preheat oven to 180C and line a large oven tray with baking paper. Cut dough into 16 even 3.5cm x 6cm rectangles (trim edges if desired) and transfer to tray, scatter with remaining thyme and pecorino, and season with freshly ground black pepper. Bake, turning halfway through cooking, until biscuits are golden (16-18 minutes). Cool on tray, then transfer to a rack to cool completely.
These are best eaten the day they’re made.