From Wikipedia:
"The tenderloin runs along both sides of the spine, and is usually harvested as two long snake-shaped cuts of beef. The tenderloin (not to be confused with the short loin) is sometimes sold whole. If the small forward end of the tenderloin is cut into portions before cooking, that portion is known as filet mignon, or the fillet, from the French boneless meat (mignon meaning "small" as true mignons are cut from the smaller tail end of the tenderloin). In contrast, some butchers in the United States label all types of tenderloin steaks "filet mignon."
The fillet is the most tender cut of beef, and is the most expensive. The average steer or heifer provides no more than 4-6 pounds of fillet. Because the muscle is non-weight-bearing, it receives very little exercise, which makes it tender."
To tenderize the meat, the beef carcass is hung for about 21-28 days after slaughter in a cool room. This process is called ageing.
Meat bought from supermarket may not have been hung long enough. Some people suggest that you can further age the beef you bought in the fridge by wrapping the meat in paper and put it in the bottom drawer for 10 or more days. There may be some spoilage/discoloring which will have to be cut out.