Heat the olive in a 15-inch paella pan over medium-high. Add onion, bell peppers and fennel and cook, stirring occasionally, for 5 minutes. Add the eggplant and mushrooms and cook caramelized, about 8 minutes more. Add garlic and paprikas and stir until fragrant, about 1 minute. Carefully add sherry, bring to a simmer, and cook, stirring constantly, until pan is almost dry, about 3 minutes. Add rice and cook, stirring occasionally, until rice is coated and starting to turn translucent, about 3 minutes. Stir in 6 cups of broth and saffron and season with salt. Bring broth to a boil, reduce heat, and simmer until rice is nearly full cooked. If the rice is still al dente, add an extra cup of broth and continue to cook. Remove from heat (cover with foil) and let rice steam 10 minutes.