If there is an unobserved component in corporate default intensities, then part of the fluctuation in corporate bond prices can be attributed to the variation in beliefs about this latent factor. We show evidence of a latent frailty process in US corporate default intensities even after including macro and firm specific variables. We proxy for shifts in agents beliefs about the unobserved factor by calculating the changes in conditional expectations of the frailty level, persistence and volatility and we demonstrate that changes  in these frailty related variables help to explain the  variation in US corporate credit spread changes.