Rinse anchovy fillet cold, dab dry. Peel and chop the shallots. Wash tarragon, shake dry, pluck leaves. Puree butter, anchovy fillet, shallots, capers, mustard, ketchup, cognac and tarragon in a tall mixing bowl with a hand blender.
Season to taste with Worcester sauce, salt and pepper. Cover and chill for at least 30 minutes.
Whip cream until stiff, remove 2 tablespoons. Bring the rest of the cream to the boil in a small pot, remove from the heat. Stir in the cold seasoning butter bit by bit. Fold in the rest of the whipped cream.