While the asparagus is steaming, make the sauce. In a medium saucepan, combine egg yolks and whisk vigorously until they get thick, about 1 minute. While whisking, add lemon and orange juice with the zest.
Move saucepan over medium heat and keep moving it off the heat, whisking constantly. The trick here is to not shock the yolks and gradually heat them up.
When the sauce gets thick, move the saucepan away from the heat and start adding the melted butter by pouring a few drops at first (don’t shock the yolks), whisking continuously. Gradually add more until the sauce is nice and smooth (never stop whisking).
Spoon over steamed asparagus, if not needed yet, move to the back burner, keeping warm on very low temperature. Makes 1 ¼ cups.