Bring the marinated sardine fillets to room temperature while assembling the remaining ingredients.
Roast the pepper on an open gas flame, turning frequently with tongs until all sides are charred black, 7 to 10 minutes. (Alternately, the pepper can be roasted under a broiler, or on top of a gas or charcoal grill.) Place in a plastic or paper bag, and let sit until cool enough to handle. Peel the pepper, make a slit down 1 side, and open flat. Remove the seeds and the stems. Cut into 20 thin strips.
Place the bocconcini balls on a work surface. Wrap each with 1 sardine fillet, then with a red bell pepper strip, and secure with a toothpick. Place on a decorative platter. Drizzle with the sardine fillet marinating oil. Garnish with the chopped parsley and sprinkle with the capers.
Yield: 20 bites; 4 to 6 servings