Creating Backup file! (Not Save-as)

Excel has an option to create a backup file.
Example:
File name: "MyExcelFile.xls"
Backup file name: "Backup of MyExcelFile.xlk"

There seems to be no option of "where" one can save the backup file too!?
Is there an option to set the backup file location? Maybe a registry setting?
See attached files for reference.
backup(1)
backup(2)