Pork tenderloin is an item we have often and I found this recipe awhile back that is easy and quick to prepare. Unlike some bacon/tenderloin recipes, this recipe starts by browning up the bacon in a pan first, then finishing off in the oven. A lot of recipes call for baking in oven, then putting under the broiler for a few minutes. Alas ... this leads to quite a bit of spatter and smoke alarms going off. (Ask me how I know). 
The Butter and Baggage site has a lot of great information and step by step instructions. I made this w/ apricot jam, because that's what I had on hand. I also did use the cayenne and it gave it a nice bit of heat.
Bacon Wrapped Pork Tenderloin - Butter and Baggage

Ingredients
1 ½ lbs pork tenderloin
3 tablespoons brown sugar
½ teaspoon salt
½ teaspoon smoked paprika
½ teaspoon cayenne pepper optional
4-6 slices bacon
1 tablespoon vegetable oil
¼ cup peach or apricot jam
2 tablespoons whole grain dijon mustard
Instructions
Preheat oven to 350º. Pat tenderloin dry with paper towels.
In a small bowl, combine brown sugar, salt, paprika and pepper. Rub it over entire pork tenderloin. Wrap the pork with the bacon slices, securing each with a toothpick.
In a large cast iron or oven proof skillet, heat oil over medium-high heat until it sizzles. Add the tenderloin and sear for about 5 minutes. Turn to other side and cook until it is brown.
In a small bowl combine the jam and mustard and brush it on all sides of the tenderloin.
Place in the oven and cook until a meat thermometer reads 140º to 150º, about 10-15 minutes, depending on the thickness. Remove from the oven and loosely tent with foil. Rest for 10 minutes to allow it to finish cooking. Remove toothpicks and slice. (You want to serve pork between 145º to 160º. The temperature will increase by about 10º while tented)
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