what is required when a bank receives a nigerian fraud scheme fax?

You can forward the fax to the Secret Service at
202-406-6930. On your cover sheet, put "No Financial Loss-For Your Database". You can file a SAR if you want, but I think the consensus of opinion of this group is that a SAR is not necessary.

are we required to contact our primary regulator as well?

For what it's worth, we were told by our local Secret Service office that they are no longer collecting letters, emails, etc. but they will investigate if there is a suspect within the United States. Our local FBI office suggested that a SAR be filed if there is a pattern or the same customer is involved in more than one incident.

You may also forward the e-mail to UCE@FTC.GOV