In a large stock pot with a steamer basket, pour enough water to reach about 4 inches for steaming, and season it with Old Bay. Let it simmer while you prepare the sauce and clean the mussels.

Rinse the mussels and remove their beards. Keep them in the fridge until you are ready to steam them.

In a sauce pot, heat the oil and cook the chorizo sausage (after removing the casing) until fully cooked, then add the fennel and let it simmer for 5 minutes. Deglaze the pot with white wine, reduce until the liquid evaporates, then add champagne and reduce it by half.

Add lemon juice and Worcestershire sauce, simmer for 2 minutes, then pour in the heavy cream and reduce by a quarter. Add the fennel sprigs and parsley, season, and keep warm.

Bring the water to a boil, add the mussels to the steamer basket, and steam for 5 minutes. Once done, place the mussels in warm bowls and drizzle the sauce over them. Garnish with a fennel sprig and serve with crusty bread.