Heat the butter in a saucepan and gently fry the onion until softened but not coloured.
Add the potato, fennel and chicken stock and bring to the boil. Reduce the heat and simmer for 10-12 minutes, or until the potato and fennel are tender. Remove from the heat and allow to cool slightly.
Pour the soup into a blender along with the parsley, egg yolk, cream and cheese and blend until smooth. If necessary, return the soup to the saucepan and gently warm through.