In large saucepan over medium-high heat, warm oil. When hot, add onion and saute until translucent, about 2 minutes.
Stir in garlic and bell pepper; add chili, tomatoes, broth, thyme and cayenne. Bring to boil, reduce heat to low; simmer, uncovered, until flavors have blended, about 15 minutes.
Add shrimp and file powder and cook just until shrimp turn pink and opaque, about 3 minutes. Season to taste with salt and pepper. Place 1/2-cup scoop of rice in each of 4 soup bowls. Ladle soup over rice.
Note: Experts recommend wearing rubber gloves and not touching your eyes during or afterward when handling chili peppers.
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