Actually PNG is assumed as the default to export the Alpha Channel. It seems to be the only format however.
JC Weatherby (1/15/2016)
We could export images with transparent backgrounds in iC5. Not so in iC6. This is a valuable feature that will allow us to do more outside of iClone if we need to, such as composite an iClone element in Adobe Photoshop, After Effects, or Premiere. RGB+A for both images and video.