With the tables
CREATE TABLE ctab (id int,rate varchar(1)); -- claims table
INSERT INTO ctab (id,rate) VALUES
    (1, 'N'),(2, 'N'),(3, 'N'),(4, 'F'),(5, 'N'),
    (6, 'D'),(7, 'D'),(8, 'F'),(9, 'L');
CREATE TABLE rtab(id int,rate varchar(1), ratevale varchar(2));
INSERT INTO rtab (id,rate,ratevale) VALUES  -- rates table
    (1, 'N', 'NA'),(2, 'D', 'DH'),(3, 'F', 'FA'),(4, 'L', 'LD');
we can do the following:
SELECT t.id, CONCAT(ratevale,'-40-',RIGHT(CAST(i+1000 as char(4)),3)) rval
FROM (
 SELECT CASE WHEN @r =rate THEN @i:=@i+1 ELSE @i:= 1 END i,
        CASE WHEN @r!=rate THEN @r:=rate ELSE @r     END r, 
 id id,rate rate 
 FROM (SELECT @i:=1,@r:='') v, ctab c 
 ORDER BY rate,id
) t 
INNER JOIN rtab r ON r.rate=t.rate
ORDER BY id
and we get:
| id |      rval |
|----|-----------|
|  1 | NA-40-001 |
|  2 | NA-40-002 |
|  3 | NA-40-003 |
|  4 | FA-40-001 |
|  5 | NA-40-004 |
|  6 | DH-40-001 |
|  7 | DH-40-002 |
|  8 | FA-40-002 |
|  9 | LD-40-001 |
Play around with it here: http://sqlfiddle.com/#!9/d9e3e/15
The basic idea is that we list the claims table, ordered by rate and turn it into a derived table t. 
Having initialised @i to 1 and @r to '' in the derived table v we check whether @r=rate and 
- if so, we increment @i.
- otherwise (ELSE) we reset@ito1and@rtorate. 
This happens in the secondCASEclause.
We end up with a sequence column i that starts counting for each value of rate. In the outer SELECT statement the derived table t is then joined to the rates table rtab and a different sorting order is applied.
Please note:
This solution can also be seen as an alternative solution to ROW_NUMBER() in MySQL . The above MySQL query in can easily be rewritten in MSSQL by applying row_number() over (partition...), see here: http://sqlfiddle.com/#!3/d9e3e/8