Preheat an indoor grill pan or outdoor grill. (If using a charcoal grill, open vents on bottom of grill.)
Mash together crumbled bread crumbs, vinegar, capers, garlic, anchovy paste, and mustard using a mortar and pestle (see cook's note). Add parsley, oil, and salt and pepper, to taste, and stir until combined well. Stir in water. Set aside and keep warm.
Lightly brush the steak with oil and season on both sides with salt and pepper. Grill steak, turning once, about 10 minutes total for medium-rare. Let stand 10 minutes. Stir sauce and serve with steak.
Cook's Note: Sauce can also be whisked together in small bowl. Mince and mash garlic to a paste with a pinch of salt before adding to a bowl.