Grill the capsicum and red peppers until they have blackened all over. Once cool enough to touch peel the skin and add to the food processor. Combine with the rest of the ingredients in the food processor until smooth.
Pour the sauce over the fish fillets in an oven proof dish and set aside to marinate for 1 hour, and preheat oven.
Cover the dish with foil and bake in a preheated oven for 20 minutes. Serve with steamed snow peas.