Heat oven to 400°F. Peel shallots; cut lengthwise into 1/4-inch-wide slices. Place shallots and carrot in ungreased 13x9-inch pan. Add 1 teaspoon oil; toss to coat.
Bake at 400°F. for 20 to 25 minutes or until vegetables are tender.
Use small amount of broth to loosen any browned bits from bottom of pan; pour into large saucepan. Add roasted vegetables, remaining broth, the wine, tomato paste, thyme and bay leaf; blend well. Bring to a boil over medium-high heat. Cook 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. Return to saucepan. Cover; refrigerate.
Increase oven temperature to 450°F. Place beef tenderloin in shallow metal roasting pan. Rub tenderloin with 1 tablespoon oil. Sprinkle top and sides with pepper. Place pan over medium-high heat; cook until tenderloin is browned on all sides. Place pan in 450°F. oven. Immediately reduce oven temperature to 375°F.; bake 40 to 50 minutes or until meat thermometer inserted in center registers 140°F.
Remove tenderloin from pan; cover with foil to keep warm. Add small amount of vegetable sauce to roasting pan; stir to loosen any browned bits. Bring remainder of vegetable sauce in saucepan to a boil, adding sauce from roasting pan. Cut tenderloin into slices. Serve with sauce.