Use a speed peeler to peel 4 good-sized strips of zest from the orange and lemon. Add these to a mortar with the bay leaves, allspice berries, fennel seeds and a pinch of salt. Crumble in the cinnamon stick, then pound the lot with the pestle until it’s well broken down. You’ll have to get stuck in as this will take a few minutes! If you’re feeling lazy you could use a food processor, but I personally think the results are better if you do it the old-fashioned way.
Once you’ve got a rough powder (don’t worry too much if there are still a few bigger bits left), add the rosemary and thyme leaves and pound again until these are bashed up, too. Finally, add the rest of the sea salt, grate in the nutmeg and give it all a good mix with a fork. The rub will keep in an airtight container for a couple of weeks.