Preheat the oven to 425°F Using the tip of a sharp knife, cut slits all over the tenderloin and insert garlic slivers into them.
Brush the tenderloin with olive oil and rub it all over with the pepper and thyme. Sprinkle with salt.
Place the tenderloin on a rack in a shallow roasting pan and roast it for 15 minutes. Reduce the oven temperature to 350°F and roast for 20 minutes for medium-rare meat; roast 5 minutes longer for medium. Let the tenderloin rest for 15 minutes before carving.
Slice the tenderloin 1/2-inch thick and arrange on a platter. Serve with Mustard Horseradish Cream Sauce.