IN A LARGE MIXING BOWL, stir the warm water and yeast together, and let stand for a minute or so to dissolve. Stir in the yogurt, 9-grain cereal, bran flakes, salt, butter, rye flour and 1 1/2 cups of the all-purpose flour. Beat vigorously until well blended. Add enough all-purpose flour to make a manageable dough, then turn out onto a lightly floured surface. Knead for a few minutes, then let rest for 10 minutes. Resume kneading for a good 10 minutes, until the dough is elastic, sprinkling on a little more all-purpose flour as necessary to keep it from being too sticky. Knead in the fennel seeds.
Place in a large greased bowl, cover with plastic wrap or a clean damp cloth, and let rise until double in bulk. Punch the dough down and divide into 3 equal parts. Roll each piece into a long round strand about 3/4-inch thick, making them all the same length. Pinch the strands together at one end, and braid. When you've finished braiding, pinch both ends together firmly and tuck them under a bit, to give the loaf a neat look. Transfer to a baking sheet that's been sprinkled with the cornmeal, cover loosely, and let rise again until double in bulk. Brush with the egg-yolk mixture, and bake in a preheated 350F oven for 45 minutes. Remove from the sheet and cool on a rack. Makes 1 Loaf