Combine rosemary, crushed peppercorns, and salt. Rub mixture over tenderloins. Fold thin end under each tenderloin; secure with wooden picks. Place tenderloins on a lightly greased rack in a broiler pan. Drizzle with olive oil. Bake at 375° for 25 to 30 minutes or until a meat thermometer inserted in thickest part registers 160° (medium). Let stand 5 minutes. Thinly slice tenderloins.
Combine mayonnaise and next 3 ingredients. Combine mustard and capers. Spoon sauces into separate serving bowls. Serve pork with sauces, arugula, gherkins, and rolls for making do-it-yourself sandwiches.