Preheat the oven to 425 degrees F. Using butcher's twine, tie the tenderloin at 1-inch intervals. Season liberally with salt and pepper.

Heat 2 tablespoons olive oil in a cast iron skillet set over high heat until smoking. Add the tenderloin and sear it on all sides, about 2 minutes each side. Transfer to a large plate to rest.

Combine spicy mustard, minced garlic, and ½ teaspoon black pepper in a small bowl. When the tenderloin has cooled enough to handle, cut off and discard the twine, then rub the mustard mixture over the beef. Chill in the refrigerator.

Heat remaining oil in the same skillet, set over medium-low heat. Saute onion and thyme for 5 minutes, then stir in the red wine. Let the skillet simmer for 2-3 minutes until the wine has reduced, then remove the skillet from the heat and let cool.

Lay a double layer of plastic wrap about 2 feet long and 1 foot wide on a cutting board. Set a layer of puff pastry dough on top of the plastic wrap. Shingle the prosciutto on top of the pastry to create a thin, even, overlapping layer, leaving a 2-inch border along the bottom and top of the phyllo dough. Spread the onion mixture evenly over the prosciutto.

Place the chilled beef tenderloin along the very bottom edge of the prosciutto. Carefully fold in the edges and roll the tenderloin, using the plastic wrap to help keep it tight. Make sure the seams aren’t too thick, and trim off any excess pastry.

Wrap the rolled tenderloin with plastic wrap, twisting the ends to make sure it is very tight. Return to the refrigerator to chill for at least 30 minutes.

Place beef on a foil-lined baking sheet. Brush the top of the pastry with beaten egg, then cut a few slits in the top of the dough. Sprinkle liberally with kosher salt.

Bake for 35-45 minutes, until the pastry is golden brown and the center of the roast reads 110 degrees F for rare or 120 degrees F for medium-rare on an instant-read thermometer. Remove from oven and allow to rest for 10 minutes before serving.