Heat the olive oil in a large, heavy bottomed pan over medium high heat. Add the onions and fennel; cook for 3 minutes, stirring. Add the garlic and cook for an additional 2 minutes, or until the onions and fennel are soft but not brown.
Add the wine and sherry and cook till reduced by half. Add the tomatoes with their juices and bring to the boil, stirring. Add just a pinch of sugar and then salt and pepper to taste. Reduce the heat to medium low and allow to simmer uncovered for 5 minutes.
Reduce the heat to low. Add mussels to the pan, then cover and let simmer, shaking the pan frequently, for 4 minutes. Discard any mussels that have not opened at this point, then divide mussels between 4 serving bowls.
Recover the pan and simmer the juices for an additional minute. Stir in the parsley, then pour the juices over the mussels. Serve immediately with good crusty bread to mop up the juices!