Steep saffron in 2 tbsp warm fish stock 10 minutes.
Heat olive oil in large pot. Sauté onion and fennel 10 minutes until softened. Add garlic and fennel seeds, cook 2 minutes.
Add tomatoes, white wine, fish stock, saffron with soaking liquid, orange zest, and bay leaves. Bring to boil.
Simmer 20 minutes. Remove bay leaves and orange zest. Blend half the broth briefly for body, return to pot.
Make rouille: blend mayonnaise, minced garlic, saffron, and cayenne until smooth.
Add firm fish chunks to simmering broth. Cook 8 minutes.
Add mussels, prawns, and clams. Cover and cook 5 minutes until shells open and prawns are pink. Discard any unopened shells.
Season and serve immediately with rouille on the side.