We propose a novel bound on single-variable marginal probability distributions in factor graphs with discrete variables. The bound is obtained by propagating bounds (convex sets of probability distributions) over a subtree of the factor graph, rooted in the variable of interest. By construction, the method not only bounds the exact marginal probability distribution of a variable, but also its approximate Belief Propagation marginal (``belief''). Thus, apart from providing a practical means to calculate bounds on marginals, our contribution also lies in providing a better understanding of the error made by Belief Propagation. We show that our bound outperforms the state-of-the-art on some inference problems arising in medical diagnosis.