Mix together the crème fraiche, horseradish, Dijon mustard and chervil. Place in the fridge until ready to use.
For the fillet mignon:
Cut the beef fillet in half, length ways. Now portion them into small medallions of approximately 50g each. Ensure that they are the exact width of the bacon. Season the meat with a little salt and pepper.
On medium heat grill the bacon until lightly coloured. Remove the bacon from the heat and allow to cool completely. Now wrap the meat medallion in the bacon and fasten with a toothpick.
On high heat grill the medallions for 1 minute on each side. Turn them on their sides to finish grilling the bacon for a few seconds. Allow to rest and finish with a dollop of the crème.