1.Heat oil in large saucepan; cook lamb, in batches, until browned. Remove from pan.
2.Cook onion and garlic in same pan, stirring, until onion softens. Add stock, the water, undrained tomatoes, rosemary and anchovy; bring to the boil. Return lamb to pan, reduce heat; simmer, covered, 1 hour, stirring occasionally. Uncover; simmer about 45 minutes or until lamb is tender.
3.Meanwhile, quarter capsicums; discard seeds and membranes. Roast under hot grill (broiler) or in very hot oven, skin-side up, until skin blisters and blackens. Cover capsicum pieces with plastic wrap or paper for 5 minutes; peel away skin, slice thickly.
4.Add capsicum to lamb; cook, uncovered, 5 minutes. Season to taste.