1. Preheat oven to moderate (325° F.).
2. In a saucepan heat the butter, stir in the flour with a wire whisk and cook until slightly colored. Add the clam juice and wine and stir until smooth. Gradually add the cream and continue stirring until smooth and moderately thick. Cook five minutes and season to taste with salt, pepper and nutmeg. Add the sherry and fennel.
3. Place the fillets in a greased baking dish and pour the sauce over them. Bake, uncovered, twenty-five to thirty minutes. Remove to heated serving platter and sprinkle liberally with chopped parsley.