Musnad Ahmad 1153:1398

Muhammad ibn Ja'far narrated to us, he said: Shu'bah narrated to us, from Abu Ishaq, from 'Amr ibn Shurahbil, from the Mother of the Believers, that she said: "The Prophet, may Allah bless him and grant him peace, used to command us, if one of us was menstruating, to wear an izar (a lower garment), then enter with him under his blanket."