Thaw the porcini mushrooms, then squeeze out the juices and reserve. Meanwhile, roast the chestnuts in the oven until golden. Using a large pot, saute the fennel and onions. Once they are tender, add in the porcini mushroom juice.
In a separate saute pan, saute the cremini mushrooms on medium high heat until brown. Add the porcini mushrooms and saute until the porcinis begin to color. Turn the heat to low and add the sherry. Cook until almost dry.
Add the mushrooms, chestnuts, and bay leaf to the onion and fennel pot. Cover with chicken stock. Bring to a simmer and cook for 15-20 minutes. Puree in a blender and pass through a chinois (fine sieve).
Saute the bacon until crispy. Remove from pan (reserving the fat) and chop. Add diced apples to the bacon fat pan and cook until golden brown.
Pour the soup into hot bowls. Garnish with sauteed apples, bacon and a little bacon fat.
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