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Step 1
Preheat oven to 200°C. Bring a large saucepan of water to the boil. Add the conchiglie and cook for 8 minutes or until almost tender, then drain.
Step 2
Meanwhile, heat oil in a frypan over high heat. Add mushrooms, and cook, stirring, for 4 minutes or until golden. Stir through anchovy and cook for a further 1 minute or until anchovy dissolves. Remove from heat.
Step 3
Combine the ricotta and milk, then add half the mushroom mixture, cheddar and broccolini. Season, then fill conchiglie with ricotta mixture and arrange on a greased baking dish. Top with remaining mushroom mixture, cheddar and broccolini. Bake for 20 minutes or until golden and bubbling.
Step 4
Sprinkle with lemon zest and drizzle with lemon juice to serve.