1. Heat oven to 200 degrees F.
2. Cut filet into 12 to 15 slices, each about 1/3 inch thick. Place medallions on work surface. Season with 1/4 teaspoon salt and 1/8 teaspoon pepper.
3. Heat 12-inch skillet (preferably not nonstick) over high heat. Add half the butter; heat. Add half the medallions; cook 45 seconds. Flip medallions over; cook 30 seconds. Transfer to platter; cover with foil and place in 200 degree F oven. Repeat with remaining butter and medallions and place in 200 degree F oven.
4. Reduce heat under skillet to medium. Remove skillet from heat; add cognac, mushrooms and onion. Return to medium heat; cook, stirring up any browned bits from bottom of skillet, about 4 minutes. Add sweet peppers; season with remaining 1/4 teaspoon salt and the 1/4 teaspoon pepper; cook, stirring occasionally, until peppers are crisp-tender, about 6 minutes.
5. In small measuring cup, whisk together broth, Worcestershire sauce and flour. Add to skillet. Increase heat to medium-high. Bring sauce to simmering; cook until slightly thickened, stirring occasionally, about 1 minute.
6. Stir in cream and any drippings from beef platter. Return beef to skillet to coat with sauce.
7. Divide beef evenly among plates. Top with sauce. Makes 4 servings.