Mix cereal and peanuts in large bowl.
Microwave caramels and water in medium microwavable bowl on high 2 minutes or until caramels are melted, stirring every minute. Pour immediately over cereal mixture; mix lightly until well coated.
Press firmly with lightly greased hands into greased 13x9-inch pan. Refrigerate until firm. Cut into 24 bars. Store in tightly covered container.