Mix cream cheese, mustard, lemon rind and lemon juice in a small bowl. Wash the chives, shake dry and cut into fine rolls. 2⁄3 Stir the chives into the cream cheese.
Season with salt and pepper. Roughly pluck trout fillets and mix in carefully.
Grill the baguette rolls on the hot grill from both sides for about 1 minute. Just before serving, add horseradish to the trout cream and stir in. Wash the watercress with the stems and shake dry.
Cut the baguette rolls open and spread the trout cream on the lower halves. Sprinkle with remaining chives and watercress.