Heat oven to 400 degrees. Peel shallots; slice lengthwise into 1/4 inch wide pieces. Place shallots and carrot in ungreased 13x9 pan. Add 1 teaspoon oil; toss to coat vegetables.
Bake at 400 degrees for 20-25 minutes or until vegetables are tender.
Use smalll amount of beef broth to loosen any browned bits from bottom of pan. In large saucepan, combine roasted vegetables with browned bits from pan, remaining beef broth, wine, tomato paste, thyme and bay leaf; blend well. Bring to a boil over medium-high heat. Cook about 30 minutes or until reduced to about 2 cups (about half of total). Cool 30 minutes.
Remove bay leaf. In blender container, blend vegetables with liquid until pureed. Cover; refrigerate.
Increase oven temperature to 450 degrees. Place beef tenderloin in shallow metal roasting pan. Rub with 1 tablespoon oil; sprinkle top and sides with pepper. Place pan over medium-high heat; cook until beef is browned on all sides. Place in 450 degree oven. Immediately reduce oven temperature to 375 degrees; bake 40-50 minutes or until thermometer inserted in center reaches 140 degrees.
Remove beef tenderloin from pan. Add small amount of vegetable sauce to pan; stir to loosen any browned bits.
In saucepan, bring remainder of sauce to a boil, adding sauce from roasting pan. Cut tenderloin into slices. Serve with sauce.