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Heat oven to 200C/180C fan/gas 6. Drain the anchovies but reserve 2 tbsp of the oil and heat it in a frying pan, then cook the onion for 10 mins until softened. Chop the anchovies and half the thyme, and stir them through the onion.
Peel the swedes, then quarter and slice. In a large bowl, toss the swedes with the onion, two-thirds of the cream and some cracked black pepper. Tip the swedes into a baking dish, cover with foil and bake for 30 mins.
Remove the dish from the oven, remove the foil, press down with a fish slice, then drizzle with the rest of the cream. Scatter over the breadcrumbs and Parmesan, then bake for about 1 hr more, until golden and the swedes are tender. Scatter with the remaining thyme.