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Heat the oven to 200C/180C fan/gas 6. Toss the fennel with the olive oil to coat it on a baking tray or in a gratin dish, adding a pinch of sea salt and the thyme leaves. Roast for 20 mins, tossing halfway through, until softened and caramelised.
Meanwhile, tear the sourdough into chunks, tip into a bowl and pour over the milk and wine. Set aside. Combine the parmesan with the crème fraîche and season with salt, pepper and a little grated nutmeg.
Once the fennel is roasted, remove from the oven and leave to cool slightly. Add the soaked bread to the fennel, and mix together. Pour over the crème fraîche mixture and half the herbs, and stir to coat the bread and fennel. Grate over a little extra cheese, then bake for another 25-30 mins, or until golden, bubbling and crisp at the edges. Top with the remaining herbs.