Grilled Seafood Paella

Name: Grilled Seafood Paella
Ingredients: 2 tablespoons vegetable oil; Reserved shrimp shells (see below); 1 medium onion, thinly sliced; 1 small carrot, thinly sliced; 3 tablespoons tomato paste; 1/4 cup dry sherry; 2 quarts of water; 6 large garlic cloves, chopped; 4 thyme sprigs; 2 bay leaves; 1 large chipotle chile in adobo; Large pinch of saffron threads; Salt