Let me answer this by asking you another question.

If a co-worker was abused or attacked by a colleague, and they asked you to produce the video of an area at a date and time? Would you comply?

I believe you would.

You should do the same here, because there is no difference.

I work in a bank. We have cameras that are small, and honking large ones. Everywhere.

There is nothing stated in the company policy about cameras. Its obvious that there are cameras around, and if there are, there are people watching.

So it is absolutely reasonable to expect that cameras will be used for monitoring and as well as evidence.

I feel you may be putting your own integrity on the line for a fellow colleague.

Let me answer this by asking you another question.

If a co-worker was abused or attacked by a colleague, and they asked you to produce the video of an area at a date and time? Would you comply?

I believe you would.

You should do the same here, because there is no difference.

How about if they asked you for the video of a location at a date and time, and didn't tell you why. Would you comply then?

I work in a bank. We have cameras that are small, and honking large ones. Everywhere.

There is nothing stated in the company policy about cameras. Its obvious that there are cameras around, and if there are, there are people watching.

So it is absolutely reasonable to expect that cameras will be used for monitoring and as well as evidence.

I fear you may be putting your own integrity on the line for a fellow colleague; ignoring any legal complications as they can vary from place to place (and industry to industry); as long as the request is documented and is delivered through the normal, appropriate channels - I do not see anything unreasonable here.