Preheat oven to 450°. Season a the beef tenderloin with kosher salt and freshly ground pepper, wrap in about 1 lb. thinly sliced bacon, and roast until it registers 125° in middle of narrowest end on an instant-read thermometer, 25 to 30 minutes. Let rest 10 minutes, then slice thinly. Serve fanned out on a platter, sprinkled with a little more salt. Melts in your mouth.
Serve with horseradish cream if you like: Stir horseradish into sour cream. Stir in chopped chives.