Place half of mushrooms in a food processor; process until minced.
Place minced mushrooms in a bowl. Repeat procedure with remaining mushrooms. Rinse and wipe processor clean.
Heat a large skillet over medium-high heat.
Add oil to pan; swirl to coat.
Add onion; saut 3 minutes.
Add garlic; saut 1 minute.
Add mushrooms; cook 7 minutes or until liquid evaporates and mushrooms begin to brown.
Add sherry; cook 1 minute, stirring frequently.
Remove from heat; stir in thyme. Cool slightly.
Combine mushroom mixture, panko, and next 4 ingredients (through egg), mixing until well combined. Shape mixture into a 7 x 3-inch free-form loaf on a foil-lined baking sheet coated with cooking spray.
Bake at 375 for 20 minutes.
Remove from oven; brush with half of ketchup.
Bake an additional 10 to 15 minutes or until a thermometer registers 16