Step 1 In a blender, add the vinegars, olive oil, 1 whole shallot, 2 garlic cloves, the bay leaves and the lemon zest. Blend at high speed until smooth. Keep covered in the refrigerator.
Step 2 Spoon several tablespoons of the sherry vinaigrette into the bottom of a small glass shallow baking dish. Add a layer of anchovies. Place the sliced shallot, the remaining crushed garlic and the fennel in a bowl; combine. Sprinkle about a third of this mixture over the fish. Pour a few tablespoons of vinaigrette on top. Continue layering. Pour over the remaining vinaigrette and press down gently to submerge the ingredients. Cover and refrigerate for 24 hours.