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Wash the mussels in a sink of cold water, removing any little beards and scrubbing any barnacles. Tap each one on the side of the sink – if the mussel doesn’t close tightly, discard it (also discard any with broken shells). Put the mussels in a colander (in batches) and rinse really well under cold running water.
Heat the oil in a large pan (or two pans if you don’t have one big enough to fit all the mussels). Sauté the leeks for 8-10 mins until softening, then add the garlic and cook for another few mins. Add the bouquet garni, pour over the sherry and wine, sprinkle over the saffron and bring to just under the boil. Stir to help the saffron flavour the wine.
Turn the heat down to medium-low, then add the mussels and stir. Cover the pan and allow the mussels to cook until they open (this will take about 4 mins), shaking the pan a few times. Remove the bouquet garni. Add the cream, stir and heat through. Taste for seasoning (mussels are always pretty salty, so you shouldn’t need to add anything). Scatter over the parsley, then transfer the mussels to a large, warm serving dish or serve them straight from the pan.