June 6 (Reuters) - Blue Sky Alternative Investments Ltd BLA.AX :
* CONFIRMS THAT IT IS CURRENTLY REVIEWING ITS BUSINESSES
* KPMG IS NOT ADVISING BLUE SKY ON ITS BUSINESS MODEL OR MANAGEMENT STRUCTURE
* CONFIRMS THAT IT HAS NO INTENTION TO SELL ITS PRIVATE EQUITY DIVISION
* KPMG CURRENTLY CONDUCTING INDEPENDENT VALUATION REVIEW OF ALL ASSETS MANAGED BY BLUE SKY