Saving in EXR format problem

I used an HDRI map for my vray environment slots and environment and effects (8). I want to use the HDRI as my background for a test render of a car since I composited the car model to the HDRI map. I ticked "Affect Background" on the color mapping layout and proceeded to render. The VFB shows the car model with the HDRI background but after saving it to EXR format and opening it in Photoshop there is no background present, only the car model. Any help would be greatly appreciated.

Thanks.