It stands for deliverable swap futures; a swap futures in which the underlying (rate or asset) is delivered at maturity of the contract (delivery date), rather than settled in cash. Delivery is the responsibility of the short (seller) to deliver to the long (buyer). If the swap is delivered, it is “effective”, that is, interest begins accruing, on a certain date within the delivery month- e.g., the third Wednesday of the delivery month.

As a standardized futures, deliverable swap futures (DSFs) provide a means to gain exposure to the underlying such as a given interest rate swap market with margin levels afforded to a standardized product. These futures are liquid means for managing price or rate exposures over a certain period of time.

It is also known as a deliverable grade swap futures.