The query finds the min and max dates, then uses a recursive cte to create a calendar table, adds a rank / grouping to each date, self joins the ranked...

I'll have a look a little later
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This looks like relatively simple XML, you should just use XQuery to parse it
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Something like this:
SELECT
  REPORT.DATA.query('.')
FROM @TXML.nodes('Reports/Report') AS REPORT(DATA)

Slightly different flavor of John's fine solution
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USE TEEST;
GO
SET NOCOUNT ON;

;WITH SAMPLE_DATA(AssetId,LabelId,LabelName) AS
(
  SELECT
   X.AssetId
   ,X.LabelId