Parenting

There is a kid in my daughter's 2nd grade class, who seems to like to lie/embellish a bit about a lot of things. Some of the things he has said/done so far:

• He has a girlfriend Kate who hides in his bedroom everyday for him to come back from school, and when he does, they go to the bathroom and she kisses him on the lips
• He went to military school when he was young(?!). They gave him basic training there
• He once said he's a lot stronger than my daughter, and there is no way she can hurt him and asked her to try. She twisted his arm to the back (smh), and he screamed to let him go
• He said he can easily take her down, and all he needs to do is to hit her on her balls(?)
• He has punched a few kids in the class for one reason or another (they were making fun of him, she says)
• He said brought a gun to the school once, and he accidentally pressed the button that makes it shoot and almost killed people, so his girlfriend Kate is mad at him.
• He says he's gonna bring his gun to the school one day and kill everyone with it. He'll spare my daughter because 'you're the smart kid. We need smart people to tell us what to do'

I was initially not very concerned, but over time, the things he says and does are extremely concerning to me. We are immigrants who didn't grow up here, so we have no idea what's normal and what's not. I wanted to report the gun thing to his class teacher, but my wife is hesitant. She says he's probably just joking around, and not to make this a big deal at school.

What do I do here? Please advise.