Preheat oven to 325°.
Combine first 5 ingredients in a large skillet; bring to a simmer over low heat. Cover and cook 5 minutes. Stir in wine and bell peppers. Cook 1 minute; remove from heat. Sprinkle fillets with salt and black pepper. Place fillets, skin sides up, over vegetable mixture in pan. Cover with lid; wrap handle with foil. Bake at 325° for 15 minutes or until fish flakes easily when tested with a fork. Discard skin and thyme sprigs. Arrange fillets and fennel mixture on individual plates; drizzle with cooking liquid.