You have correctly identified the principal characteristic group as aldehyde.
According to the current version of Nomenclature of Organic Chemistry – IUPAC Recommendations and Preferred Names 2013 (Blue Book), simple mono- and dialdehydes are named substitutively using the suffix ‘al’.
P-126.96.36.199.1 Mono- and dialdehydes derived from alkanes are named substitutively using the suffix ‘al’ added to the name of the parent hydride with elision of the final letter ‘e’ of the parent hydride before ‘a’.
For example: pentanal and pentanedial, respectively. Thus, the compound that is given in the question is a butanedial.
The terminal locants of aldehydes, i.e. ‘1,4’ in case of butanedial, are not cited.
P-188.8.131.52 Terminal locants are not cited in names for mono- and dicarboxylic acids derived from acyclic hydrocarbons and their corresponding acyl halides, amides, hydrazides, nitriles, aldehydes, amidines, amidrazones, hydrazidines, and amidoximes, when unsubstituted or substituted on carbon atoms.
Also the locant ‘2’ of 2-methylbutanedial is not cited.
P-184.108.40.206 The locant is omitted in monosubstituted symmetrical parent hydrides or parent compounds where there is only one kind of substitutable hydrogen.
Therefore, the preferred IUPAC name is methylbutanedial.
By way of comparison, the Blue Book contained the similar example ‘2-chlorobutanedioic acid’, which was later corrected to ‘chlorobutanedioic acid’.