Bacon Wrapped Tenderloin: Our Bacon Wrapped Tenderloin is a cut from the loin; because this muscle gets little exercise, the steak contains less connective tissue making it more tender than many other types of steak. It may also known as a filet mignon. Bacon Wrapping adds flavor to this lean, tender cut. Brown bacon on all sides, then cook the steak over high heat. Sear both sides quickly, do not overcook.