What are Annual Returns and are CSOs required to submit them?

I keep seeing ‘Annual Returns’ mentioned in things I read about NPO compliance but I honestly don’t know what they are or whether we’re supposed to be filing them. We’ve been registered for three years and nobody has ever contacted us about it. Are these the same as tax returns? Do we have to pay anything to submit them? And if we haven’t been doing them, are we in trouble? Just trying to figure out if this is something we’ve been missing all along or if it doesn’t apply to smaller organisations like ours.