When the actual words of a speaker are quoted, the sentence is said to be in the Direct Speech. But the sentence is said to be in the Reported or Indirect Speech. If the content of exact words of the speaker is reported without quoting the exact words.
He said, "I am sick" - Direct Speech
He said that he was sick - Reported or Indirect Speech
A sentence in a direct speech will have
(i) The speaker;
(ii) The Reporting Verb related to the speaker and
(iii) There may or may not be a listener or a person spoken to.
It is possible to change a sentence in Direct Speech in its Reported speech form by following certain rules.
(A) If the Reporting Verb is in any of the present tense or future tense forms, the only change in the quoted will be the changes to the appropriate forms
of pronouns related to their corresponding speaker and the listener and by using 'that' as the connective.
He says to me that he will come to my place tomorrow - Indirect or Reported Speech.
Here follows a chart of the Pronouns in its different forms.