Freezing cold PM after exercise class no good (9)
I believe the answer is:
perishing
'freezing' is the definition.
(thesaurus)
'cold pm after exercise class no good' is the wordplay.
'cold pm' becomes 'rishi' (I can't justify this - if you can you should give a lot more credence to this answer).
'after' means one lot of letters go next to another.
'exercise class' becomes 'pe' (physical education).
'no good' becomes 'ng' (abbreviation).
'rishi' after 'pe' is 'perishi'.
'perishi'+'ng'='PERISHING'
Can you help me to learn more?
(Other definitions for perishing that I've seen before include "going west" , "Dying" .)