Trim fat from tenderloins. Fold a piece of aluminum foil in half, crosswise; place tenderloins on aluminum foil lengthwise. Place thyme sprigs evenly on tenderloins.
Combine 1 tablespoon brandy, 1 teaspoon olive oil, salt, and pepper in a small bowl; stir well. Pour over tenderloins, and wrap securely. Place on an ungreased baking sheet. Insert meat thermometer into thickest part of tenderloin, if desired. Bake at 400° for 30 to 35 minutes or until meat thermometer registers 160°. Remove tenderloins from foil; remove and discard thyme sprigs. Transfer tenderloins to a serving platter, and keep warm.
Heat remaining 1 teaspoon olive oil in a skillet over medium-high heat until hot; add onion. Saute until tender. Add remaining 1 tablespoon brandy, brown sugar, and next 3 ingredients; stir well. Combine cornstarch and water; add to onion mixture, and stir. Bring to a boil; cook over medium-high heat until thickened, stirring occasionally.
To serve, slice tenderloins diagonally across grain into thin slices, and serve with mustard sauce.