Excellent recipe. Note, it's cheaper to buy tenderloin as a whole, rather than filets anyway. Also, make sure you buy quality blue cheese as it does make the sauce. I followed the recipe and it was fabulous. I did change the cooking method slightly. I put the tenderloin in the pre-heated oven at 450 degrees for 15 minutes. I then had my hubby grill to an internal temperature of 120 degrees. Wonderful! Will definitely make again.
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