Exhibition featuring jazz, close to Sloane Square (5,4)
I believe the answer is:
trade fair
'exhibition' is the definition.
(I know that Trade fair is a type of fairs)
'jazz close to sloane square' is the wordplay.
'jazz' becomes 'trad' (trad jazz is a type of jazz).
'close to' indicates one should take the final letters (the 'close' to the word).
'square' becomes 'fair' (I've seen this before).
The final letter of 'sloane' is 'e'.
'trad'+'e'+'fair'='TRADE FAIR'
'featuring' is the link.
(Other definitions for trade fair that I've seen before include "sales show" , "Business gathering dealing with particular class of product" .)