DECLARE @t TABLE(
	CoveredEntity	varchar(10),
	CoverageLoser	varchar(10)
)

INSERT INTO @t 
        --( CoveredEntity, CoverageLoser )
SELECT 'Manager_A', 'Manager_Y'
UNION
SELECT 'Manager_A', 'Manager_Z'
UNION
SELECT 'Manager_B', 'Manager_Y'
UNION
SELECT 'Manager_B', 'Manager_Z'
UNION
SELECT 'Manager_C', 'Manager_Y'
UNION
SELECT 'Manager_C', 'Manager_X'

SELECT CoveredEntity AS '@Name', 
            CoverageLoser AS 'Loser'
FROM @t
FOR XML PATH('Entity'), ROOT('UnClaimEvent')

<UnClaimEvent>
  <Entity Name="Manager_A">
    <Loser>Manager_Y</Loser>
  </Entity>
  <Entity Name="Manager_A">
    <Loser>Manager_Z</Loser>
  </Entity>
  <Entity Name="Manager_B">
    <Loser>Manager_Y</Loser>
  </Entity>
  <Entity Name="Manager_B">
    <Loser>Manager_Z</Loser>
  </Entity>
  <Entity Name="Manager_C">
    <Loser>Manager_Y</Loser>
  </Entity>
  <Entity Name="Manager_C">
    <Loser>Manager_X</Loser>
  </Entity>
</UnClaimEvent>

<UnClaimEvent>
  <Entity Name="Manager_A">
    <Loser>Manager_Y</Loser>
    <Loser>Manager_Z</Loser>
  </Entity>
  <Entity Name="Manager_B">
    <Loser>Manager_Y</Loser> 
    <Loser>Manager_Z</Loser>
  </Entity>
  <Entity Name="Manager_C">
    <Loser>Manager_Y</Loser> 
    <Loser>Manager_X</Loser>
  </Entity>
</UnClaimEvent>

;WITH xCTE (CoveredEntity) AS
(
	SELECT DISTINCT CoveredEntity
	FROM @t
)
SELECT CoveredEntity AS '@Name', 
	(
		SELECT CoverageLoser AS 'Loser'
		FROM @t t
		WHERE t.CoveredEntity = xCTE.CoveredEntity
		FOR XML PATH(''), TYPE
	)
FROM xCTE
FOR XML PATH('Entity'), ROOT('UnClaimEvent')