I'd do something like this
I don't like to rely on sheet numbers (e.g. 'the 'first sheet') being what I think they are -- safer to use .Name
Added deleting output workbooks if they already exist
Option Explicit
Sub CreateWorkBooks()
Dim ws As Worksheet
Dim wb1 As Workbook, wb2 As Workbook
Dim sFilename As String, sM2 As String
Application.ScreenUpdating = False
Set wb1 = ThisWorkbook
sM2 = wb1.Worksheets("DATA").Range("M2")
For Each ws In wb1.Worksheets
If ws.Name = "DATA" Then GoTo GetNext
'Copy one worksheet as a new workbook
'The new workbook becomes the ActiveWorkbook
ws.Copy
Set wb2 = ActiveWorkbook
'Replace all formulas with values (optional)
ActiveSheet.UsedRange.Value = ActiveSheet.UsedRange.Value
'May want (not required) to add a file name extension (.xls or .xlsx) to the file name
sFilename = wb1.Path & "\" & "AR Balance- " & ActiveSheet.Name & " " & sM2 & ".xlsx"
On Error Resume Next
Application.DisplayAlerts = False
Kill sFilename
Application.DisplayAlerts = True
On Error GoTo 0
wb2.SaveAs sFilename, xlOpenXMLWorkbook
wb2.Close SaveChanges:=False
wb1.Activate
GetNext:
Next
Application.ScreenUpdating = True
End Sub