1. Roast the peppers directly over a gas flame or under the broiler, as close to the heat as possible, turning frequently, until blackened all over. Place the peppers in a paper or plastic bag and let steam for 10 minutes. When cool enough to handle, peel off the skins under running water. Place the peeled peppers in a large bowl.
2. Halve the peppers and remove the cores, seeds and ribs over the bowl to catch the juices. Place the peppers in a wide-mouth quart jar. Strain the juices over the peppers.
3. Add the anchovies, capers, bay leaves and garlic to the peppers. Add the vinegar and enough oil to cover the peppers. Stir to release any air bubbles, then cover and refrigerate.