1. Preheat the broiler to its highest setting. Melt the butter over moderate heat in a small saucepan. Remove the pan from the heat and stir in the lime juice, anchovy paste, red pepper and salt. Set the butter sauce aside.
2. Pat the mackerel fillets completely dry with paper towels. Then, with a pastry brush, spread the vegetable oil evenly over the grid of the broiling pan. Arrange the fillets side by side on the grid, and brush them with about 2 tablespoons of the butter sauce.
3. Broil 4 inches from the heat for 4 to 5 minutes, brushing the fillets once or twice more with the remaining sauce. The mackerel is done when the tops are golden brown and the fish feel firm to the touch.
4. With a wide metal spatula, transfer the fillets to a heated platter. Arrange the lime wedges around the fish and serve at once.
