I would use a separate dataset to generate the data. The following query creates 36 months of entries beginning at 1/1/2011.

SELECT (CHOOSE(DATEPART(m,dateadd(month,number,'20110101')),'JAN','FEB','MAR','APR','MAY','JUN','JUL','AUG','SEP','OCT','NOV','DEC'))

+ (CONVERT(nvarchar(4),DATEPART(yyyy,DATEADD(month,number, '20110101'))))

from master..spt_values

where type = 'p' AND number < 36