Parse a custom XML with as3

Going with your example in your question (which assumes your data is a string), you could do something along these lines:

//your xml needs a namespace identifier to be valid
//I've added one on the header node. 
//Likely if you're consuming this xml from some third party, the namespace declaration will be on root node.
var myXML = <Saa:Header xmlns:Saa="urn:swift:saa:xsd:saa.2.0" >
        <Saa:Message>
            <Saa:SenderReference> data
             </Saa:SenderReference>
       </Saa:Message>
        <Saa:Message>
            <Saa:SenderReference> data
             </Saa:SenderReference>
       </Saa:Message>
  </Saa:Header>;

//create a reference to the `Saa` namespace that prefixes all your xml nodes
var saaNamespace:Namespace = new Namespace("urn:swift:saa:xsd:saa.2.0");

//tell AS3 to use that namespace by default
default xml namespace = saaNamespace;

//basically an array of all the SenderReference nodes in the entire xml
var xmlList:XMLList = myXML..SenderReference; 

//This line will give the same results as the line above, but if there were SenderReference nodes somewhere else in the document that weren't under Message nodes, they would not be included (unlike above)
xmlList = myXML.Message.SenderReference; 

//iterate through all the SenderReference nodes
for(var i:int=0;i<xmlList.length();i++){
    trace("Node #" + (i+1) + ":",xmlList[i]);
}

There are lots of ways to get the data you want from XML in AS3, a good article is this one from senocular.