Blue and sorrowful, below the surface (4,2,3,6)

I believe the answer is:

down in the depths

'below the surface' is the definition.

'blue and sorrowful' is the wordplay.
'blue' becomes 'down' (I've seen this before).
'and' means one lot of letters go next to another.
'sorrowful' becomes 'inthedepths' (phrase meaning depressed).
'down'+'inthedepths'='DOWN IN THE DEPTHS'

I've seen this clue in The Guardian.

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