Preheat broiler. Cream together blue cheese, butter, and cayenne. Set aside.
Season tenderloin with salt and pepper. Heat clarified butter in frying pan over medium high heat. When hot, sear tenderloin on both sides. Remove from pan to paper towels. Blot dry with more paper towels.
Place cheese mixture on one half of tenderloin and cover this with other half. Tie halves together with string. Return to frying pan and cook until desired doneness (1 1/2 minutes on each side for rare, 3 minutes for medium, 4 minutes for well done). Remove from pan and discard string.
Preheat broiler, setting rack at least 4 inches from heat source. Coat tenderloin with Gruyere, anchovy and pimentos, reserving some for garnish. Broil for 5 minutes. Remove from heat onto a wooden platter. Sprinkle with parsley and extra pimento to serve.