Section 325 of the USA PATRIOT Act expanded the SAR safe harbor rules to include situations like this. So, you may file a SAR on the employee. (Hopefully, it's a FORMER employee.
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What the safe harbor does for you is protect you when making disclosures in an employment reference of any suspicious activity you reported on an employee. You may disclose the info, but not the fact that a SAR was filed.
How many times have you had an employee caught with their hands in the till, only to have the amount not big enough for anyone to prosecute? The next thing you know, you are getting a phone call from another bank asking for an employment reference for some dishonest employee you fired. Before, no one dared to say anything about situations like this to prospective employers for fear of a lawsuit. As long as you file a SAR on those cases, you can divulge the info, but not the fact that a SAR was filed, and not be held liable in a lawsuit about the disclosures.
Filing in these cases is optional, so it's a judgment call on your part. Also, the filings should be made in good faith, i.e., based on fact and not malicious, otherwise the safe harbor doesn't apply.
I vote for filing the SAR in this case. AR.