Heat oil in heavy large pot over medium heat. Add fennel, onions and fennel seeds; cook until fennel and onions are very tender, stirring occasionally, about 1 hour. Add garlic; stir 2 minutes. Add wine, broth and saffron; simmer until thick, stirring occasionally, about 20 minutes. Season with salt and pepper. (Can be made 1 day ahead. Cover and chill. Rewarm over medium heat, stirring often, before using.)