Cut pocket lengthwise in side of tenderloin, leaving 1/2-inch uncut at each end. Place marrow into hot pan and add spring onions. Fry gently and add mushrooms. Add wine, rosemary, and salt and pepper. Scrape mixture to one side of pan so it cooks indirectly over the heat.
Preheat broiler. Stuff pocket of meat with mushroom-onion mixture. Tie meat at each end to secure filling and season with salt and pepper. Brush roasting rack with butter and place meat on rack, basting with more butter. Broil 2 inches from heat, 5 minutes on each side, basting frequently. Cut into 1/2-inch thick slices. Smooth over with anchovy butter.
Place butter, anchovy paste and parsley on a board and work together into a smooth paste.