Heat the oven to 200 degrees Celsius.
Chop the capsicum and combine it with the ham and cheese in a bowl.
Leaving a 2cm border along one side of each sheet, spread the sauce onto the pastry and sprinkle with the capsicum mixture.
Leaving the plain edge to the end, roll up the pastry to enclose the filling.
The edge should be brushed lightly with water before being folded and sealed.
Take each roll and slice it into 1cm rounds.
Arrange the sliced rounds on oven trays lined with parchment paper.
Bake the rounds in the oven for approximately 20 minutes or until they turn golden in color.