Clean the mussels by scrubbing the shells under running water with a kitchen brush. Remove any beards on the mussels with a paring knife. Set aside in a bowl in a cool place or in the refrigerator until ready. Measure the wine and put the saffron and bay leaf in the wine and set aside.
In a large, high sided skillet or pan, heat the olive oil on medium low heat. Add the shallot and fennel and gently sauté over medium-low to low heat until fennel is tender – about 12-15 minutes – stirring occasionally.
Next, add the garlic, stir, and sauté for two minutes. Turn the heat to high and add the wine with the soaking saffron and bay leaf as well as the red and black pepper. Bring to a boil and add the mussels and cover.
The mussels will take between 3 and 5 minutes to open. Once they do, turn the heat to low and remove the mussels with tongs to a bowl. Discard any mussels that did not open during the steaming, then cover the bowl with plastic wrap, and set aside.
Once the mussels have been removed, turn the heat up to medium and reduce the sauce for about 5-7 minutes. Then, remove from the heat and stir in the lemon juice. Keeping it off the heat, stir in the butter, a cube at a time at the beginning, then two cubes at a time once half of the butter is in the sauce.
Once the butter has all been incorporated, return the mussels to the pan and heat on very low heat to warm the mussels back up if needed (*do not boil the sauce*).
Remove the mussels to a serving bowl, sprinkle with some parsley and serve with bread to soak up the sauce.