Place capers, water, mustard, and shallot in jar of blender. Heat butter in small heavy-bottomed saucepan over medium heat; cook, swirling pan constantly, until butter turns dark golden brown and has nutty aroma, 4 to 5 minutes. With blender running, slowly pour butter through opening in lid; process until ingredients are emulsified and sauce is smooth. Return sauce to saucepan and season with pepper to taste. Cover to keep warm.

Makes about 1/2 cup