Preheat the oven to 200°C (390°F) on the grill (broil) setting.
Lightly oil a baking tray, then place the peppers on it, also brushed with a little oil. For ease of use, you can cut them in half, remove the seeds, and lay them skin side up.
Place the baking tray about 10 cm (4 inches) from the grill (broiler) and let the peppers roast.
When the skin on one side is well blackened and blistered, turn the peppers to grill the other sides.
Once well grilled, you can let them rest in the turned-off oven for about fifteen minutes before taking them out to clean.
Note: You don't need to put them in a plastic bag to sweat them, as the heat of the oven softens them sufficiently. Putting them in a bag could make them too tender.
To remove the skin, cut and store, proceed as for grilled peppers.