This paper introduces the analysis of factor models in the frequency domain to the corporate bond pricing literature using the spectral factor model developed by Bandi, Chaudhuri, Lo, and Tamoni (2021). We decompose the bond market factor into orthogonal frequency-specific components, where the spectral betas capture frequency-specific systematic risk. Our findings show that an annual cycle component of the bond market factor, which spans 8 to 16 months, enhances the bond CAPM. In earlier literature, a liquidity risk factor adds incremental cross-sectional pricing power beyond the bond market factor. We show that when the bond market factor is substituted by its annual cycle component, the liquidity risk factor loses its incremental pricing power. Supported by additional evidence, we conclude that the yearly cycle component can be interpreted as the liquidity cycle of the bond market factor. Moreover, the results indicate that dimensionality reduction in factor models can be achieved by separating signal from noise in the frequency domain.