Try to make this a day ahead to allow the piquant flavors to develop. Leftover sauce is delicious on tuna sandwiches or with fish or chicken.Plus: More Seafood Recipes and Tips
In a food processor, combine the shallot, capers and cornichons and pulse until finely chopped. Add the mayonnaise, chives, parsley, dill, lemon juice, mustard and pepper and process to blend. With the machine on, add the olive oil in a slow steady stream.
The sauce can be refrigerated for up to 3 days. Bring to room temperature before using.