http://www.food.gov.uk/news/newsarchive/2004/jun/oilyfishdefinition

What’s an oily fish?
Salmon Trout Mackerel Herring Sardines Pilchards Kipper Eel Whitebait Tuna (fresh only) Anchovies Swordfish Bloater Cacha Carp Hilsa Jack fish Katla Orange roughy Pangas Sprats

Now you know.