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Definition

Synonym of that'll be the day (“said in reply to something that one believes will never happen”).

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Origins

Probably a humorous elaboration of that’ll be the day, with frosty and Friday chosen for the alliteration; probably also implicitly evoking a cold day in Hell, referring to when Hell freezes over.

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Also Said As

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How People Actually Use It

that day will never come; don't hold your breath.

Source: Urban Dictionary