Eileen, this is a great sauce to serve over beef filet so I think it would be great with prime rib also:

Beef Filets with Cognac-Cream Sauce (From Williams Sonoma)

Spice mixture
3/4 teaspoon paprika
3/4 teaspoon garlic powder
3/4 teaspoon dry mustard
3/4 teaspoon dried rosemary
1/4 teaspoon salt
1/4 teaspoon freshly ground pepper

The Sauce:
1 tablespoon butter
1 shallot (or small onion); minced
2 tablespoons chopped flat-leaf parsley
2 tablespoon Cognac
1 tablespoon Dijon mustard
2 tablespoon tomato paste
1 cup beef broth or stock
1/2 cup heavy cream
Cayenne pepper (optional)

In a small bowl spice mixture and set aside.

In frying pan over medium heat, melt the butter and add the shallot, sauté until softened about 3 minutes. Remove from heat and stir in the parsley and Cognac. Return to heat and simmer for another 1 to 2 minutes. Whisk in the Dijon mustard, tomato paste, beef broth and reserved spice mixture. Continue to simmer while stirring often to reduce the sauce by half, about 5 minutes. Whisk in the cream and cayenne to taste. Add any accumulated juices from the steaks to the sauce and season to taste with salt and pepper.

Marilyn

YUM! looks like a good one

Since the Cognac is a cream sauce, either of these would be a good second sauce.

Multiple as necessary

Brown Butter Caper Sauce
Makes 2 servings

1 tbsp extra virgin olive oil
2 tbsps butter
1 tbsp fresh lemon juice
2 tsps drained capers

In a small heavy saucepan, cook the olive oil and butter over moderately high heat, swirling the pan ocassionally, until the foam subsides and the butter is nut-brown. Remove from the heat and swirl in the lemon juice and capers. Spoon over fillet and serve hot.

Mushroom-Whiskey Sauce
Makes 2 servings
Source: Mayo Clinic
Serve over broiled or grilled steaks

1 tsp trans-free margarine
3 cloves garlic chopped
2 ounces sliced Shitake mushrooms
2 ounces button mushrooms
1/4 teaspoon dried thyme
1/4 teaspoon dried rosemary
1/4 cup whiskey

In a small sauce, pan, heat the margarine over medium heat. Add the garlic, mushrooms, they and rosemary. Saute lightly until the mushroom are tender, about 1 to 2 minutes. Remove from the heat and carefully add the whiskey (be careful not to flame). Stir the sauce for another minute and serve over steaks.

Eileen, This first recipe I've made often since Mique shared it with us a few years ago.

The sauce really compliments the tenderloin without over powering.

Home Cookin Chapter: Recipes From Thibeault's Table

(8 servings)

8 filet mignons
8 croutons
Green Peppercorn Sauce (below)

Pan broil or grill the filet mignons
until done. Place a crouton on each
of 8 warmed plates. Place a filet
mignon on each crouton. Top with a
generous spoonful of Green
Peppercorn Sauce
. Pan broil or grill the filet mignons until done. Place a crouton on
each of 8 warmed plates. Place a filet mignon on each crouton. Top with
a generous spoonful of Green Peppercorn Sauce.

GREEN PEPPERCORN SAUCE
Makes (3/4cup)

1 tablespoon butter
2 tablespoons shallot, finely chopped
¼ pound mushrooms, finely chopped
2 tablespoons parsley, minced
1 teaspoon green peppercorns, rinsed and drained
Tabasco sauce
2 tablespoons brandy
1 cup whipping cream

1. Melt the butter in a small saucepan. Add the shallot and saute over
medium heat until soft. Add the mushrooms and saute for 5 minutes,
stirring frequently. Add the parsley, peppercorns, and 2 to 3 drops of
Tabasco sauce.

2. Warm the brandy and ignite it. Pour the brandy into the mushroom
mixture and stir until the flames subside. Add the cream. Boil the
sauce, stirring constantly, until it thickens. Add salt to taste.

This one is really good too.

Home Cookin Chapter: Recipes From Thibeault's Table

For: Omaha Steaks Filet Mignons
2 (6 oz.) Filet Mignons, thawed
1/8 tsp. salt
1/8 tsp. freshly ground pepper
2 Tbsp. butter
1 tsp. Dijon-style mustard
2 Tbsp. shallots, minced
1 Tbsp. butter
1 Tbsp. lemon juice
1 1/2 tsp. Worcestershire sauce
1 Tbsp. fresh chives, minced
1 tsp. brandy
1 Tbsp. fresh parsley, minced
.

Season both sides of steak with salt and pepper. Melt butter in a heavy
skillet; add mustard and shallots. Saute over medium heat 1 minute. Add
steaks and cook approximately 3 minutes on each side for medium-rare.
Remove steaks to serving plate and keep warm. Add into pan drippings, 1
Tbsp. butter, lemon juice, Worcestershire sauce and chives. Cook for 2
minutes. Add brandy; pour sauce over steaks. Sprinkle parsley over the
top. Serves 2.