Warning conservative to go down in bar (9)
I believe the answer is:
foreclose
'bar' is the definition.
(I've seen this before)
'warning conservative to go down' is the wordplay.
'warning' becomes 'fore' (shouted in golf).
'conservative' becomes 'C' (UK political abbreviation).
'to go down' becomes 'lose' (I've seen this before).
'fore'+'c'+'lose'='FORECLOSE'
'in' is the link.
(Other definitions for foreclose that I've seen before include "Take back property because mortgage payments due have not been paid" , "Bar" .)