Preheat the oven to 375. Place 36 toothpicks in a dish and cover them in cool water for a few minutes.
On a clean, dry surface, cut the bacon pieces into even thirds. Wrap each water chestnut in a bacon third and secure the bacon by stabbing a toothpick through the whole thing. Continue until there are 36 pieces (I’ve made this a couple times and the number of water chestnuts in the cans varies…usually I get 36-40 between the two cans, so if there are a few more you can just make them too).
Line a large rimmed baking sheet with parchment paper. Place the wrapped water chestnuts on the baking sheet and bake for 20 minutes. While they’re baking, combine the ketchup, brown sugar, yogurt, Worcestershire sauce and Sriracha in a medium bowl and stir until well combined.
When the water chestnuts are finished, keep the oven on, remove the sheet from the oven and transfer the water chestnuts to a stack of paper towels to drain the grease. Throw away the parchment paper and use additional paper towels to wipe the bacon grease out of the baking sheet. Re-line the sheet with a fresh piece of parchment paper. Using a silicone pastry brush, coat each of the bacon-wrapped water chestnuts generously with the sauce from step 3 and place it on the parchment-lined sheet. If any sauce remains drizzle it over the wrapped water chestnuts.
Place the baking sheet back into the oven and bake for another 30-40 minutes until bacon is crisp. Serve!