Rub four 8-ounce filets mignons with Pepper-Ancho Rub on one side; drizzle with vegetable oil. Grill rub-side down over high heat, about 4 minutes; flip, reduce the heat to medium or move the steaks to a cooler spot and grill 4 more minutes (for medium-rare), brushing often with Mint Glaze (recipe below). Top with more glaze.
Whisk all of the ingredients in a bowl.
Whisk the mustard, honey, horseradish and mint in a bowl; season with salt and pepper. Set aside a few tablespoons for the finished steaks.