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For the marinade: In a medium bowl, whisk together the sherry, lemon juice, garlic, oregano, paprika, cumin, salt, and pepper.
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Place the pork in a medium glass bowl. Pour half of the marinade over the pork. Add the oil and toss to coat. Cover and refrigerate for 1 to 2 hours.
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Pour the remaining marinade into a small saucepan. Add the cream and bring to a boil over medium heat. Boil until the sauce is thick enough to coat the back of a spoon, about 4 to 5 minutes.
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Spray a grill pan or grilling rack with nonstick spray. Place the grill pan over medium-high heat or preheat a gas or charcoal grill.
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Remove the pork from the marinade. Discard the marinade. Thread 3 pieces of pork onto each skewer. Grill the skewers until the pork is golden and cooked through, about 4 minutes per side. Place a skewer in each endive leaf. Drizzle the skewers with sauce and serve.
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*Note: My garlic cloves were huge and I found 6 to be too much. I never thought anything could have too much garlic but if you have large cloves I would only use 3.