To prepare cream, combine first 4 ingredients. Cover and chill.
To prepare tenderloin, secure tenderloin at 1-inch intervals with twine. Combine tenderloin, shallots, and the next 6 ingredients (through garlic) in a large zip-top plastic bag; seal. Shake to coat tenderloin evenly with cognac mixture. Marinate in refrigerator at least 2 hours, turning bag occasionally.
Preheat oven to 450°.
Remove tenderloin from bag; discard marinade. Sprinkle tenderloin evenly with salt. Place tenderloin in a shallow roasting pan coated with cooking spray. Bake at 450° for 40 minutes or until medium-rare or desired degree of doneness. Let stand 10 minutes before slicing. Cut tenderloin crosswise into thin slices. Spread 1 1/2 teaspoons cream on bottom half of each roll; top each roll with about 1 ounce beef and top half of roll.