My younger brother is sexually active - what should I do?

As-salamu alaykum. Two days ago my 14-year-old brother got in trouble with our parents and they took his phone. He had a game the next day and we didn’t know what time he’d be home, so I looked through his phone trying to contact his friends to find out. While doing that I saw messages between him and a girl from his school. They’re dating, and worse, they’re sexually active. The only thing they’ve been using after the fact is Plan B. From the messages it looks like the girl even had a pregnancy scare. I also found out he’s been sneaking out to meet her late at night. I’m so shocked and upset I cry when I think about it. Our parents have worked so hard to raise us with good values. They came to this country about seven years ago and are still learning how to parent here. They’re trying their best. We’re a religious family - they encourage prayer and reading the Qur’an, and my siblings attend an online Islamic school a few hours a week. The thought that my brother might not be taking any of that seriously breaks my heart. I worry that his prayers aren’t sincere and that he’s making terrible choices. He’s a good kid in many ways but he doesn’t seem to take warnings seriously. My parents don’t know yet, and I’m not sure if I should tell them. Because of other issues they’re even considering moving back to a Muslim country. Do you think that would help? Could it solve this? If moving isn’t possible right away, what temporary steps could we take at home to protect him and guide him back to the right path? I feel overwhelmed and stuck - please give me advice on what the best and most Islami course of action would be.