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To be completely honest, I'm a fat fiend. I don't particularly care if my steak is a little bit chewy as long as there's plenty of crisp, moist, salty fat around it. Give me a rib eye steak, and I'll go straight for the crispy bits around the bone before even thinking about hitting the actual meat.
But of course, there are those Jack Sprats out there who prefer their meat completely lean and tender. Oddly enough, I've noticed that most of these people are either moms, or British. For them, beef tenderloin is the cut of choice. Also referred to as a filet mignon or chateubriand (when the center cut portion is roasted whole), it's a small strip of meat that runs along the spine inside the rib cage along the back half of the animal. It's one of the least used, and consequently most tender muscles on the cow.
What tenderloin lacks in flavor, it makes up for in tenderness. When cooked to medium rare, it should be tender enough to cut with a butter knife. Because of its lack of fat, it's often served wrapped with bacon, or with a rich compound butter or butter-based sauce like bearnaise.
Shopping and Storage
Because the muscle is so small (about 6 pounds total per animal), it is one of the most expensive cuts available, generally running upwards of $20 per pound when trimmed and portioned. If you buy the muscle whole and untrimmed, this cost can be cut down by about half. My local Fairway sells whole tenderloins for $6.99 a pound.
The only problem is that then you've got to trim and portion it yourself. This video will show you how. I save my scraps for making stocks and sauces (simmer them with sake, soy sauce, and onions to make a great sukiyaki broth), but they can also just be discarded. Either way, you'll save money.
With fattier cuts like rib eye or strip, its advisable to buy Prime-graded meat to ensure a good level of marbling. With tenderloin, however, the cut itself is so lean that whether you get Prime, Choice, or even Select, it makes very little difference. Go with whatever's cheapest and available.