Chane to:

Sub saveasrisk()

'CHANGE to last biz date

Dim saveCellday As Long
Dim saveCellmonth As Long
Dim saveCellyear As Long

With Sheets("Sheet1")'Change here 
 saveCellmonth = .Range("F2").Value
 saveCellday = .Range("F3").Value
 saveCellyear = .Range("F4").Value
End with
 
 ChDir "M:\R\2020"
    ActiveWorkbook.saveas Filename:= _
        "M:\R\2020\EFR - " & Format(saveCellmonth, "00") & "." & Format(saveCellday, "00") & "." & saveCellyear & ".xlsm", FileFormat:= _
        xlOpenXMLWorkbookMacroEnabled, CreateBackup:=False
End Sub