Place the salmon steaks in a shallow ovenproof dish. Scatter the shallots, fennel, bay leaf and parsley over the top. Pour in the wine, cover tightly and bake at 180°C (350°F) mark 4 for 15 minutes, until fish is tender.
Strain off 100 ml (4 fl oz) of the cooking liquor. Turn off oven, re-cover the salmon and keep warm.
Boil the strained liquor until reduced to 15 ml (1 tbsp). Beat the egg yolks together in a medium heatproof bowl, then stir in the reduced liquor and work in half of the butter.
Place the bowl over a saucepan of hot water and whisk with a balloon whisk until the butter has melted. Gradually whisk in the remaining butter, whisking well after each addition, to make a thick, fluffy sauce. Remove the pan from the heat.
Add 10 ml (2 tsp) of the cooked fennel to the sauce and season to taste, adding a little lemon juice, if necessary.
Transfer the salmon to a warmed plate. Spoon the sauce over and garnish with fennel sprigs.
