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Combine chicken stock, wine, bay leaf, parsley, thyme, peppercorns and fennel; bring to a boil and simmer, uncovered for 20 minutes.
Add scallops and simmer 10 minutes.
Remove scallops to a bowl. Strain stock and reduce over high heat to one cup.
Sauté sliced mushrooms and shallots in butter and lemon juice until tender. Remove mushrooms and shallots to bowl with scallops.
Sprinkle flour over butter. Cook and stir one minute. Stir in reduced stock and 3/4 cup cream. Heat to boiling.
Beat egg yolk into remaining cream and add to sauce. Bring to a boil and remove from heat.
Adjust seasoning.
Drain scallop/mushroom mixture and fold into half of cream sauce.
Butter six scallop shells or shallow ramekins and place a tablespoon of sauce in each. Divide scallop mixture equally between six dishes and top with remaining sauce.
Sprinkle with bread crumbs.
Bake at 375° F. for 10 minutes. Brown under broiler. Serve at once.