Wash the anchovy fillets and pat dry.
Wash the rocket and shake dry.
Peel and finely dice the shallot.
Prepare all the ingredients.
Mix together the shallot, 1 tbsp mustard, the thyme, lemon zest, 2 tbsp olive oil, the honey, salt and pepper in a bowl. Finely chop the capers and anchovy fillets. Add to the bowl and mix well.
Place the steaks in the marinade, turning to coat. Allow to marinate for 30 minutes at room temperature.
In a bowl, whisk the mayonnaise with the rest of the mustard until smooth.
Halve the bread rolls and briefly toast them in a griddle pan.
Roughly wipe the marinade off the steaks. Then, grill in the griddle pan in the remaining oil for 1-2 minutes on each side for rare meat. Cook for a few minutes longer over for medium. Leave to rest for a few minutes.
Arrange the rocket on the bases of the rolls.
Cut the steaks into slices and arrange them on the rocket. Drizzle with the mayonnaise and season with salt and pepper. Cover with the bread tops and serve.