Creating Lower Thirds in Photoshop to import into SVP 11

I created an animated lower thirds in Photoshop CS5, using PS's animation feature.

When creating the lower thirds, I have the background set to transparent, then I added my elements that I want to move into place.

I set the bitrate of the file to 32, then render the lower thirds animation in Photoshop to an MPEG-4 format.

When I bring the clip into SVP 11, the background in black. How can I render a lower-thirds animation in PS, then bring it into SVP with a transparent background?

Do I need to do something in PS, or in SVP?

Thanks for any responses.

To have an alpha, you will need: avi (uncompressed), mov (animation), or mov (png). Or a series of png images (as Stephen mentioned).

However, another technique (from a DJ tutorial by D. Eric Franks) to get transparency:
a. Add track, insert clip
b. Add FX Sony Mask Generator
c. Add track below, insert clip
d. Make track (c) a child of track (a)
e. Duplicate track (a) [another track with the Sony Mask Generator]
f. Drag track (e) below track (c)
g. Change track (a) compositing mode to Multiply

I.e.:
Track 1 - clip, Mask Generator, Multiply
Track 2 - clip, Source Alpha, child of Track 1
Track 3 - clip, Mask Generator, Source Alpha