Plain English Meaning
The heading you plan to be on when you finish the turn. You pick it before you start, then roll out of the turn so the airplane ends up pointing that way.
Full Definition
The compass heading on which a steep turn is to be ended, typically the same heading on which the maneuver was begun. The pilot selects this heading before starting the turn and uses it as the rollout reference to complete the maneuver on the intended course.
Context Anchor
Used during steep-turn practice before entering the maneuver, so the pilot knows where the turn should end.
Derivation
From 'terminate,' meaning to bring to an end. The terminating heading is simply the heading at which the maneuver terminates.