How to Make It
Preheat the oven to 400°. In a small bowl, combine the mayonnaise with the diced cornichons, lemon juice and cayenne. Season with salt and black pepper and stir until blended, then refrigerate.
In a medium skillet, heat 3 tablespoons of the oil. Add the celery, apple and shallot and cook over moderate heat until softened. Add the bread and cook, stirring until golden, 5 minutes. Stir in the chives and rosemary; season with salt and black pepper. Remove the croutons from the heat.
Brush a 9-by-13-inch glass baking dish with 1 tablespoon of the oil. Arrange the smelts in the dish in a single layer and season lightly with salt and black pepper. Top with the crouton mixture and drizzle with the remaining 1 tablespoon of oil. Roast the smelts for 12 minutes or until the fish are firm and the croutons are crisp. Transfer the smelts to a platter, drizzle the brine over them and serve with the cornichon mayonnaise.