Cook fennel and onion in 2 tbsp. extra-virgin olive oil in a large frying pan over medium-low heat until well caramelized, about 30 minutes. Add saffron, cayenne, and paprika; cook until fragrant, 1 minute.
Remove from heat and add vinegar, broth, zest, rosemary, and salt. Let cool. Whisk in 5 tbsp. more extra-virgin olive oil.