The biggest mistake made with mussels is throwing out the juice they release when they're cooking. This mussel liquor is intensely flavoured and redolent of the sea - sweet and salty. Here it becomes the base of the velouté. You'll need to begin this a day ahead to soak the saffron (see tip below).
Hot tip Soaking your saffron overnight extracts the full benefit - in flavour and colour. Consider buying locally grown saffron, which is usually much fresher than imported examples.