Preheat the oven to 375°F. Season the meat with salt and pepper.
Heat the oil an oven-safe pan over med-high heat. (My cast iron skillet worked well.) Sear the tenderloin until brown on one side (2-3 minutes), then turn tenderloin to the other side.
Put the pan in oven. Cook until the tenderloin’s internal temp reaches 140°F (about 20 minutes.)
Transfer the tenderloin to a plate and cover with aluminum foil.
Discard fat from pan, then deglaze with the chicken broth. Bring to a boil over high heat, and then add horseradish, mustard, cayenne and cream. Stir frequently until the sauce thickens (about 5 minutes.)
Remove pan from heat and whisk in cold butter to finish.