Place ½ cup macadamia nuts in a food processor or blender. Cover and process with on/off turn just until crumbly. Chop the other ½ cup of nuts coarsely. In a small mixing bowl, combine ground and chopped macadamia nuts; add thyme, butter, and breadcrumbs. Season the mixture with salt and pepper; set aside.
Rinse tenderloin and pat dry with paper towels. Trim and cut into 12 medallions, about 1- inch thick. Wrap each medallion with a slice of bacon. Secure with toothpicks.
Heat a large frying pan or skillet over medium-high heat. Add oil and swirl it around; it should kind of dance in the skillet. Add medallions and sear for 6 minutes on each side. Remove from the heat.
Preheat oven to 395 degrees Fahrenheit. Transfer medallions to a greased baking sheet. Spread macadamia mixture evenly over medallions. Bake for 10 minutes. Remove from the oven and let rest, tented with foil, for 5 to 10 minutes. Remove toothpicks.
Deglaze the pan with the heavy cream and broth, scraping up the browned bits. Add capers and simmer until sauce starts to thicken, 3-5 minutes. Serve medallions over the sauce.
Serve with mashed potatoes or rice and vegetables of your choice