As MarketReport.Targets has a join table, map it as many-to-many.
<class name="MarketReport">
<id column="reportid" />
<bag name="ReportTargets" table="reporttargets">
<key column="marketreportid"/>
<many-to-many column="targetid" class="Target"/>
</bag>
</class>
<class name="Target">
<id column="targetid" />
<bag name="DataPoints" inverse="true">
<key column="targetid"/>
<one-to-many class="DataPoint"/>
</bag>
</class>
<class name="DataPoint">
<id column="datapointid" />
</class>
Based on your most recent comment, you want either want a ternary association, or a component collection. I have included both mappings.
<class name="MarketReport">
<id column="reportid" />
<map name="ReportTargets" table="reporttargets">
<key column="marketreportid"/>
<index-many-to-many column="targetid" class="Target"/>
<many-to-many column="datapointid" class="DataPoint"/>
</map>
</class>
<class name="MarketReport">
<id column="reportid" />
<bag name="ReportTargets" table="reporttargets">
<key column="marketreportid"/>
<composite-element class="ReportTarget">
<many-to-one name="Target" column="targetid"/>
<many-to-one name="DataPoint" column="datapointid"/>
</composite-element>
</bag>
</class>
<class name="Target">
<id column="targetid" />
</class>
<class name="DataPoint">
<id column="datapointid" />
</class>