Preheat the oven to 200ºC/fan 180ºC/gas mark 6. Cut the pepper halves into quarters and place in a roasting tin with the courgette. Drizzle over the olive oil, season with black pepper and toss together. Roast for 15-20 minutes until softened and golden. Add the tomatoes and set aside to cool.
With a serrated knife, horizontally slice the very top off the loaf, and set aside. Scoop out the middle of the loaf, leaving a 2cm edge all the way round. Spoon 1/3 of the roasted vegetables into the base of the loaf, pressing down firmly.
Top with the cheddar slices and salami slices, then add half the rocket leaves, pressing down well. Add another 1/3 of the roasted vegetables followed by the prosciutto slices. Top with the remaining rocket and roasted vegetables. Place the top back on the loaf, and wrap in clingfilm and foil to transport.