Lilypad RGB led pwm help

Hi everyone, I have started working with my new Lilypad Arduino and some RGB leds.  I have been loading code and testing 4 RGB leds (common anode) which I have set up in parallel across pins 11, 10, and 9.  While powering the lilypad by usb the leds cycle through all colours (which is what I programmed it to do).  Unfortunately, I have a problem when powering the lilypad by  this power supply.

When powered by the power supply the only colour that lights up is red (pin 11).  Can anyone suggest anything?