Blue swallow heading south (4)

I believe the answer is:

down

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This might be a double definition.

'blue' is the first definition.
(both can mean sad)

'swallow heading south' is the second definition.
'down' can be an answer for 'swallow' (I've seen this before). I am not certain of the 'heading south' bit.

Can you help me to learn more?

(Other definitions for down that I've seen before include "Not working (computer)" , "Depressed; swallow" , "Consume (drink), sad" , "Soft feathers; direction" , "Fluff - sorrowful" .)

I've seen this clue in The Guardian.

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