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Preheat the oven to 450˚F. Line a sheet pan with aluminum foil. Place a roasting rack or metal cooling rack onto a lined baking sheet. Spray the rack with cooking spray.
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Allow the beef tenderloin to come to room temperature.
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Brush the beef tenderloin with vegetable oil. Season it on all sides with kosher salt and freshly cracked black pepper from Lee Kum Kee Black Peppercorn Grinder. Place it on the rack and bake it in the oven for 15 minutes. Then, reduce the oven temperature to 325˚F and bake for about 30-40 minutes for a medium rare doneness.
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While the beef tenderloin cooks, combine the Greek yogurt, sour cream, horseradish, oregano, thyme, heavy cream, lemon juice, and Lee Kum Kee Panda Brand Premium Cooking Soy Sauce in a bowl. Mix to combine. Season with salt and fresh ground pepper from Lee Kum Kee Black Peppercorn Grinder, to taste.
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When the beef tenderloin is finished cooking, remove it from the oven and tent it with foil. Allow it to rest for 10 minutes. Slice the beef tenderloin and serve with the horseradish sauce. Enjoy!