SO#57728095, Sql Server

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--Sql Server 2014 Express Edition
--Batches are separated by 'go'

with cte (id,  col2,   modifieddate) as 
    (SELECT 1,   'red',  cast('20190107' as date)  UNION ALL
     SELECT 1,   'green',cast('20190207' as Date) UNION ALL
     SELECT 1,   'blue',cast('20190307' as Date) UNION ALL    
     SELECT 2,   'green',cast('20190112' as Date) UNION ALL   
     SELECT 2,   'blue',cast('20190302' as Date) UNION ALL    
     SELECT 2,   'red',cast('20190419' as Date) UNION ALL     
     SELECT 3,   'red',cast('20181212' as Date) UNION ALL     
     SELECT 3,   'green',cast('20190210' as Date)),
     Dates as (SELECT cast('20190101' as date) FirstofMonth  UNION ALL
               SELECT cast('20190201' as date) FirstofMonth  UNION ALL
               SELECT cast('20190301' as date) FirstofMonth  UNION ALL
               SELECT cast('20190401' as date) FirstofMonth )
     SELECT Z.iD, A.FirstofMonth, Col2 as Col4
               FROM Dates A
               CROSS JOIN (SELECT DISTINCT ID FROM CTE) Z
               OUTER APPLY(SELECT TOP 1 * FROM CTE B
                           WHERE Z.ID = B.ID
                           and B.ModifiedDate<=A.FirstOfMonth
                           Order by B.ModifiedDate desc) X

View schema
Execution time: 0 sec, rows selected: 12, rows affected: 0, absolute service time: 0,17 sec, absolute service time: 0,17 sec