Line a baking pan with high sides that will just hold the fillet without too much extra room. (the sides should be a little taller than the fillet) with parchment paper.
Scatter some of the coarse salt in a thin layer on the parchment.
Scatter with the rosemary and bay leaves and place the fillet on top.
Add the remaining coarse salt on and around the fillet to hide it completely.
Sprinkle with a few drops of waters and bake for about 45 minutes.
Meanwhile, make the sauce: In a small bowl, whisk together the yogurt, mustard, salt to taste, and peppercorns.
When the fillet is cooked, remove it from the pan and wipe off the salt with a paper towel or a clean dish towel.
Thinly slice the beef and serve with a small amount of the sauce and a few whole peppercorns for garnish.