If not already tied, tightly tie the tenderloin in 2 inch sections with butcher's twine so it conforms a consecutive shape. Refer to photos above.
In a bowl, combine garlic, rosemary, oil, salt and pepper until it forms a light paste. Evenly coat the tenderloin with this mixture and allow it to rest at room temperature for 1 hour.
Preheat the oven to 500 degrees F and place the tenderloin on a roasting rack in a roasting pan. Roast for 20 minutes then insert a food grade thermometer into the center of the tenderloin. Continue to roast until internal temperature reaches 120 degrees F. If you want it cooked more than medium rare, roast until 130 degrees for medium and 140 degrees for medium-well. The tenderloin will continue to cook after you take it out of the oven.
Remove from oven at desired temp and cover with foil for 15 minutes. While the tenderloin is resting, mix together all of the horseradish sauce ingredients in a small bowl.
Slice the tenderloin and serve with horseradish sauce on the side.