Bank setter's entered: 'Red, sir, unfortunately' (9)
I believe the answer is:
riverside
'bank' is the definition.
(riverside is a kind of bank)
'setter's entered red sir unfortunately' is the wordplay.
'setter's' becomes 'ive' (I've seen this in other clues**).
'entered' indicates putting letters inside.
'unfortunately' indicates anagramming the letters.
'red'+'sir'='redsir'
'redsir' is an anagram of 'rrside'.
'ive' going within 'rrside' is 'RIVERSIDE'.
(Other definitions for riverside that I've seen before include "Bank" , "Area along, say, the Thames" .)