Preheat oven to 400 degrees F.
Combine horseradish, oil and mustard in a small bowl. Rub tenderloin with salt and pepper; coat with the horseradish mixture. Tie with kitchen string in 3 places. Transfer to a small roasting pan.
Roast until a thermometer inserted into the thickest part of the tenderloin registers 140 degrees F for medium-rare, 35 to 45 minutes. Transfer to a cutting board; let rest for 5 minutes. Remove the string. Slice and serve with Creamy Horseradish Sauce.
Note: You'll need 2 pounds of trimmed tenderloin for this recipe. Ask your butcher to remove the extra fat, silver skin and the chain (a lumpy, fat-covered piece of meat that runs along the tenderloin). If you buy untrimmed tenderloin, start with about 2 1/2 pounds, then use a sharp knife to trim the silver skin, fat and chain.