Broth: In a medium sauce pan, slowly roast 3 cups of shrimp heads and shells in a small amount of oil until crisp and fragrant. Add all ingredients except water. Reduce by 1/4 and add water to cover the shells by 1-inch. Bring to a boil, reduce to a simmer for 30 minutes. Strain, chill, and reserve.
Rouille: Combine the first 5 ingredients in a bowl of a food processor and process until foamy, slowly drizzle in the oil until thick, season. You want this thick enough to dollop.
Mussels: Place the carrots, fennel and leeks in a medium sauce pan with the saffron broth and the mussels. Cover and steam for 2 minutes or until the mussels have opened (discard any unopened mussels.) Remove mussels and divide among 4 service bowls. Add the tomatoes to the vegetables along with the herbs. Reduce for 4 minutes. Mount in the butter and season. Top each bowl of mussels with vegetables and broth. Mound with a generous dollop of rouille and serve with grilled bread.
Consumption of raw or undercooked eggs, shellfish and meat may increase the risk of foodborne illness.