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Heat the butter in a large frying pan and fry the beef fillet for 5 mins, turning it to seal and brown it all over. Remove from the pan and leave to cool. Add the shallots to the buttery meat juices and cook, stirring, until softened and golden. Turn off the heat and tip out two-thirds of the shallots into a bowl. Add the horseradish and some black pepper to the bowl, then blitz with a hand blender to make a coarse purée.
Meanwhile, pour the red wine and stock into the pan with the remaining shallots. Blend the cornflour with 3 tbsp water, add to the pan with the redcurrant jelly, and stir until thickened. Season to taste and allow to bubble for at least 5 mins until it has become a sauce. Cool and chill until ready to serve.
Lay 8 slices of prosciutto in 2 overlapping rows. Spread the horseradish mixture on top and scatter evenly with the herbs. Place the fillet on top, cover the ends with the last 2 slices, and tightly wrap the prosciutto around the beef. Chill until ready to cook.
Remove the beef from the fridge at least 30 mins before you are ready to cook it. Heat oven to 220C/200C fan/gas 7. Put the meat on a baking-parchment-lined baking tray and roast for 30-40 mins, depending on how well done you like it. (To test how done the beef is, insert a digital thermometer into the centre – it should read 50C for rare, 55C for medium rare and 60C for medium.) Leave to rest for 10-15 mins, then carefully slice with a very sharp knife and serve with the wine sauce. Scatter with extra thyme, if you like.