Higher-frequency data may not be available for an entire lower-frequency period. For example, a monthly data series may end in February. With only 2 of the 12 months of the year available, the converted annual value will be missing for the last year.
So, when converting to a lower frequency, first and last observations will be missing if the number of higher-frequency periods per lower-frequency period is less than a minimum threshold. The minimum threshold of observations depends on which frequencies are being converted as follows:
Frequency*: Threshold

Daily to weekly: 4
Daily to bi-weekly: 8
Daily to monthly: 17
Daily to quarterly: 52
Daily to semiannual: 104
Daily to annual: 208

Weekly to bi-weekly: 2
Weekly to monthly: 3
Weekly to quarterly: 10
Weekly to semiannual: 20
Weekly to annual: 39

Bi-weekly to monthly: 2
Bi-weekly to quarterly: 7
Bi-weekly to semiannual; 13
Bi-weekly to annual: 26

Monthly to quarterly: 3
Monthly to semiannual: 6
Monthly to annual: 12

Quarterly to semiannual: 2
Quarterly to annual: 4

Semiannual to annual: 2

*Daily and weekly series can have missing values due to holidays. Accordingly, the thresholds for converting daily or weekly data series to a lower frequency have been reduced. Otherwise, one missing value in a daily or weekly data series would cause the corresponding lower-frequency period to be excluded.

The thresholds for converting monthly and quarterly data series to a lower frequency require that all higher-frequency periods be available. If any monthly or quarterly value is missing, the corresponding lower-frequency period will not be included.

The minimum thresholds above apply only to first and last observations. Observations in the middle of the data series are not considered to have missing values if the number of higher-frequency periods per lower-frequency period is less than the minimum threshold noted.