Preheat oven to 160C.
Place the capsicums and tomatoes in a baking dish.
Combine the olive oil, garlic and anchovies in a small dish and drizzle it all over the capsicums and tomatoes.
Season with salt and pepper.
Bake for around 40 minutes.
Add the mini bocconcini balls and return to the oven for a further 5 minutes.
Before serving, scatter the basil leaves over the top and drizzle with balsamic vinegar.
