How to Make It
Preheat the oven to 450°. In a spice grinder, grind the fennel seeds and star anise to a powder. Transfer to a small bowl and stir in the ancho powder.
Set the tenderloin roast on a large rimmed baking sheet and season all over with salt and pepper. Sprinkle the spice mixture all over the tenderloin and evenly drizzle with the oil, then gently pat the spices into the meat. Roast the tenderloin in the upper third of the oven for 35 minutes, turning it over once using sturdy tongs, until browned all over and an instant-read thermometer inserted in the thickest part registers 135° for medium-rare meat. Transfer the roast to a carving board and let stand for up to 10 minutes.
Meanwhile, set the baking sheet over 2 burners and add the water. Simmer over moderate heat, scraping up the browned bits stuck to the bottom of the sheet, until reduced to 3/4 cup, about 3 minutes. Season the jus with salt and pepper and transfer into a warmed gravy boat. Carve the tenderloin into 1/3-inch-thick slices and serve with the jus.