Heat oven to 450°F. Place beef tenderloin in ungreased shallow metal roasting pan or ovenproof skillet. Rub beef with oil. Sprinkle with salt and pepper. Place pan over medium-high heat; cook until beef is browned on all sides.
Place beef in 450°F. oven. Immediately reduce oven temperature to 375°F.; bake 30 to 35 minutes or until meat thermometer inserted in center registers 140°F.
Remove beef from oven. Cool 30 minutes or until completely cooled. If desired, wrap tightly; refrigerate until serving time.
Meanwhile, in small bowl, combine mayonnaise, onions, capers, mustard and horseradish sauce; mix well. Cover; refrigerate until serving time.
Slice beef very thin. Spread bread slices with sauce. Top each with small piece of radicchio, beef slice and watercress. Serve immediately, or cover loosely and refrigerate until serving time.