As implied by the name, the Tenderloin is an exceptionally tender cut, from the lower back of the beef. The entire muscle is known as the Tenderloin, whereas steaks cut from the same area are served as Filet Mignon. Tenderloin also appears opposite the Strip in both Porterhouse and T-Bone steaks.
This cut does not have much protective fat, so you want to cook it quickly over high heat. The idea is to get a nice sear on the outside, while keeping the internal temperature to a juicy 130°F (medium rare). Be careful not to overcook this wonderfully tender cut, the lack of fat could leave you with a tough meal. Finally, let your filet rest before enjoying and enjoy with a nice bearnaise sauce. It is a technically difficult sauce to make but soooooo worth the effort.