Prepare the grill. When coals are hot, toast bread on grill rack, brushed with oil, about 4 to 6 inches from heat source, for 2 minutes on each side or until lightly browned. Transfer to a serving plate. Brush rack with oil again. Grill onions and peppers for about 5 minutes, turning oce or twice. Brush with oil as necessary. Vegetables will begin to char and be tender. Spoon vegetables into a bowl. Toss with capers and 2 tbs. Oil. Mound vegetable mixture on warm toast. Lay an anchovy on top of each sandwich. Serve hot.