Assemble your ingredients. If you don't have a paella pan, use a 12-inch nonstick skillet. Preheat the oven to 425°.
Bring the broth and saffron threads to a simmer in a small saucepan, but don't boil. Cover and keep broth warm.
Heat the oil in the skillet (or paella pan) over medium heat, until hot but not smoking. Add the sausage and brown; transfer to a plate. Add the chicken to the skillet and cook, stirring, 4 minutes or until browned. Transfer to the plate with the sausage.
Add the fennel, bell pepper, onion, salt, pepper, and garlic to the skillet and saute 3 to 5 minutes until the vegetables are tender. Add 1 cup of the tomatoes and 2 tablespoons of the parsley and cook 1 minute.
Stir in the paprika and rice (be sure to stir well so the rice absorbs the olive oil). Return the sausage and chicken to the skillet and add the warm broth. Bring the paella to a boil, stirring occasionally, and continue to cook about 3 minutes, until it is no longer soupy (but there is still some broth in the bottom of the skillet).
Remove the skillet from the heat and arrange the shrimp and mussels on top, nestling the mussels into the rice. Sprinkle with the remaining 1/2 cup of tomatoes.
Bake in the preheated oven 15 minutes, or until the mussel shells open. Discard any unopened shells. Remove from the oven and cover tightly with aluminum foil. Let stand 15 minutes to allow the rice to steam until tender. Sprinkle with the remaining 2 tablespoons of parsley and serve immediately.