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Preheat your oven to 230°C
In a shallow dish, place your whole beef tenderloin. Mix the teriyaki sauce, red wine and garlic and marinate in the refrigerator for about half an hour.
Put your tenderloin on a pan that is suitable for the broiler and cook it for 15 minutes. Reduce the temperature of your oven to 190°C and cook for 30 to 40 minutes or until it reaches your desired doneness. Let it rest for 10 minutes before you slice it.
Over low heat, in a saucepan, mix the blue cheese with the mayonnais the sour cream and the Worcestershire sauce. Stir until you get a smootgh consistency and pour it over your tenderloin once it is served.