You need to extract the year and month from the filename to be able to ask for the last Saturday. So, just get the day back and compose it back with the year and month you already extracted:
#! /bin/bash
filename=SOURCE_FILE_042014.CSV
date=${filename##*_}
date=${date%.CSV}
month=${date:0:2}
year=${date:2}
day=$(cal $month $year | awk 'NF>6{a=$7} END{print a}')
echo $month$day$year