RegSaveKey returns ERROR_PRIVILEGE_NOT_HELD

HKEY key;
LRESULT result = RegOpenKeyEx(HKEY_LOCAL_MACHINE, L"Software\MyProduct", 0, KEY_ACCESS_ALL, &key);
result = RegSaveKey(key, L"c:\temp\saved.reg", NULL);

HANDLE ProcessToken;

if (OpenProcessToken(GetCurrentProcess(), TOKEN_ADJUST_PRIVILEGES | TOKEN_QUERY, &ProcessToken)) {

    SetPrivilege(ProcessToken, SE_BACKUP_NAME, TRUE);

    // Save reg key now...
    ...
}