Sauce
Combine the basil, cilantro, mint, orange juice, capers, garlic, orange zest, lemon zest and salt in a blender.
With the blender running pour in the oil and process until smooth.
Steaks
Prepare a grill for two-zone cooking over high (450°F-550°F) and indirect heat.
Season the steaks with salt and pepper. Brush the orange and lemon slices with the oil.
Grill the steaks over direct heat, with the lid closed, for 1 1/2 minutes. Rotate the steak 90 degrees, close the grill and continue cooking 1 1/2 minutes longer. Turn the steaks over and repeat.
After the steaks have cooked 3 minutes on the second side slide the steaks over to the indirect heat side of the grill. Close the lid and grill the steaks until an instant read thermometer inserted into the thickest portion of the steaks registers 120°F for medium-rare, about 4-6 minutes longer.
Transfer the steaks to a plate and let them rest 5 minutes: the temperature of the steaks will continue to rise another 5°F-10°F.
While the steaks rest, grill the orange and lemon slices over direct heat until marked, about 1 minute per side. Set the steaks on top of the citrus slices and serve with the sauce.
