Preheat oven to 350. Clean tenderloin by removing the silver skin. Mix oil and mustard and spread evenly over tenderloin. Stir together shallots, garlic, and thyme in small bowl; rub onto tenderloin. Season to taste with salt and pepper. Wrap bacon around tenderloin and tie with butchers twine.
Sear roast in large pan over medium heat, turning often to ensure even browning. After bacon has been rendered, put meat on rack and roast for 15 to 20 minutes or til internal temperature is 130. Remove roast from oven and let rest for 5 to 10 minutes. Remove string, slice meat and serve.