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It probably means your computer ran out of memory. Constructing the cyclotomic polynomial of order 37^5 does mean computing a polynomial of degree 37^4*(37-1), so it has more than 60 million terms. Sage can compute it on a computer with sufficient memory, but it's getting up there. I don't expect you'll be able to do anything but the most trivial operations with the field after you have constructed it this way.