Put bread in food processor or blender and process to fine crumbs. Soak the saffron in the hot water for 1 minute, then add water and saffron to processor or blender and process until combined.
Add the garlic and process until finely chopped. Scrape down sides and add the egg yolk, red pepper, paprika, and 1/2 teaspoon of the salt. Process until pureed. With the motor running, gradually add the oil in a slow steady stream until the mixture becomes smooth and thick like mayonnaise. Taste and add cayenne, if desired. Refrigerate until serving time, for up to 2 days. Makes about 1 cup.
Coat the fish steaks all over with cooking spray, black pepper, and the remaining 1/4 teaspoon of the salt.
Light the grill for medium-high heat. Brush the grill grate and coat with oil. Grill the fish with the lid down until grill-marked on both sides yet slightly filmy and moist in the center, 5 to 6 minutes per side (about 120ºF internal temperature).
Remove and serve each steak with a dollop of the sauce and a lemon wedge for squeezing. Reserve the remaining sauce for another use.
Tip: Serve the swordfish or salmon with grilled asparagus to complete the meal.