Choose the correct Indirect Speech: They say to us, "You are not returning our books."

They tell us that we are not returning their books.

They ask to us that we are not returning their books.

They tell us that they are not returning their books.

None of these

"Say to us" changes to "tell us", and present tense remains as it's a universal statement.

"You" changes to we, and "our" to their to match the speaker and listener perspective.