Crush the peppercorns and mustard seed in a spice mill. Pour into a small bowl and combine with the remaining rub ingredients.
Lightly brush both sides of each steak with oil and season evenly with the rub. Allow to stand at room temperature for 15 to 30 minutes before grilling.
Prepare the grill for indirect cooking over high heat (230°C to 290°C).
In a small saucepan whisk the sauce ingredients. Simmer over low heat for about 5 minutes on the stove.
Brush the cooking grates clean. Sear the steaks over direct heat for 6 to 8 minutes, turning once. Continue grilling over indirect high heat until cooked to your desired doneness, 4 to 6 minutes more for medium rare, turning once or twice. Keep the lid closed as much as possible during grilling. Remove the steaks from the grill and let rest for 3 to 5 minutes.
Remove the two main pieces of steak from either side of the bone (the tenderloin and the strip steak). Cut each section across the grain into 0.5 centimetre slices and serve warm with the sauce.