Heat the oven to 200C/390F/gas 6.Scatter the nuts on a baking tray and roast for 10-15 minutes, until golden.
Meanwhile, heat a little oil in a pan and fry the bread, until golden brown all over. Add the garlic and paprika, cook for another minute, then remove from the heat.
Leaving the oven on, transfer the nuts and toasted bread to a food processor. Add the peppers and blitz to a coarse paste – you still want a bit of texture.
Tip the lot into a mixing bowl, stir in the oil, vinegar, chilli, saffron and its soaking liquid, and tomato puree.
Season to taste and adjust the flavours if need be: romesco is about a balance of punchy flavours. Too thick? Add a little water. Too sweet? Add a little vinegar. Too sharp? Add a little oil to soften. Leave to one side to mellow.