To make the rub, combine the porcini powder, kosher salt, and pepper together in a small bowl. Add the olive oil and stir to make a thick, gritty paste. Tie the tenderloin in 4 or 5 places using butcher's twine or silicone bands to support its shape to make nice, rounded serving slices. Put the tenderloin on a rack in a small roasting pan. Spread the porcini rub all over the roast and leave it at room temperature for 1 hour.
Meanwhile, start the sauce by bringing the wine and shallots to a boil in a small saucepan over medium-high heat. Reduce the heat to low to simmer steadily until the wine is reduced to roughly 1/2 cup, about 25 minutes, and set it aside.
Preheat the oven to 500°F.
Roast the tenderloin until an instant-read thermometer registers 115°F, 20 to 25 minutes. Remove the roast if you like it very rare, or check the temperature every 5 minutes and remove it as soon as the center of the roast reaches 120°F for rare or 125°F for medium rare. Transfer the tenderloin to a cutting board, tent with aluminum foil, and let it rest for at least 20 minutes to reach its final serving temperature while you finish the sauce.
To finish the sauce, add the saba to the reserved wine mixture over low heat. Whisk in the butter, a few cubes at a time, to make a sauce that barely coats the back of a spoon. Taste for salt and add a pinch if it needs it.
Slice the tenderloin into 1/2-inch-thick slices and spoon the sauce, including plenty of the shallots, over each serving alongside a side, if desired.
Note: If saba is unavailable, combine 1/4 cup of good-quality balsamic vinegar and 1 tablespoon of sugar in a small saucepan. Bring it to a simmer over medium heat and cook until it is reduced to 3 tablespoons of syrup, about 3 minutes.
Heat the olive oil in a large saucepan over medium heat. Add the onion, carrot, celery, and garlic and cook, stirring often, until the vegetables soften and turn translucent, about 5 minutes.
Add the wine and cook until it has nearly evaporated, about 5 minutes. Stir in the lentils, salt, pepper, and bay leaves. Add 1 1/2 cups of the stock or water, reduce the heat to low, and simmer the lentils uncovered, stirring occasionally until the liquid has nearly been absorbed.
Add more of the stock or water in small doses, about 1/2 cup at a time, using just enough so that the lentils are tender and there is about 1 inch of liquid in the bottom of the pan, for a total of 40 to 45 minutes. Remove and discard bay leaves. Taste for salt and pepper and keep it covered over low heat until ready to serve.
Source: Curry, Lynne. "Porcini-Rubbed Tenderloin with Saba Sauce." Pure Beef: An Essential Guide to Artisan Meat with Recipes for Every Cut. Pennsylvania: Running Press Book -Publishers, 2012. 207-208. Print.