Place fillets in strainer; cook in boiling water with salt, pepper & bay leaf 25 minutes. Remove & keep hot.
Melt butter, add flour and 2 cups fish stock. When slightly thickened, add ¼ tespoon each salt and pepper, lemon juice & beaten egg yolks. Add sherry & remove from heat.
Arrange cod in buttered scallop shells or very shallow buttered baking dish. Cover with sauce; garnish with mushrooms. Set under low broiler heat (low oven) until delicately browned on top. Serve in shells.