Place all the fish bones and heads in a large pan. Add the leek, onion, carrot, orange zest, fennel seeds, thyme, bay leaves and parsley. Pour over the wine and water and bring to the boil. Skim off any scum that floats to the surface. Simmer for 40 minutes.
Strain through a sieve into a large clean pan, pressing against the vegetables and bones to extract as much flavour as possible. Y