The picture is pretty poor and out of focus, but I would say it is a hollow base bullet, probably a .38 Special wadcutter (assuming standard size bricks). When a bullet hits something solid, like a brick, its energy is instantly converted to heat and it can partially melt into the target, as it looks like that one did.
(If it is an anchor, it sure doesn't look like any I have driven in, and I have driven a lot of them.)
Jim
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