If your annual return is late you'll get a penalty

Preparing to operate PAYE in real time (RTI)

Most employers will now report PAYE information to HM Revenue & Customs (HMRC) in real time.

This means that employers (or their accountant, bookkeeper or payroll bureau) must:

send details to HMRC every time they pay an employee, at the time they pay them
use payroll software to send this information electronically as part of their routine payroll process