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Preheat the oven to 375°F (190°C).
Arrange the mackerel fillets in an oven-safe dish.
Peel and slice the oranges and arrange them around the mackerel.
Top with the fennel slices.
Drizzle with the olive oil and sprinkle with the garlic, thyme, salt and pepper.
Dot with the butter and pour the white wine over the top.
Bake for 15-20 minutes or until the mackerel is cooked through.
Sprinkle with the parsley and serve.