Put simply, to what extent do MBB almost exclusively recruit from Oxford and Cambridge? Am i perhaps too optimistic in applying for any such graduate position, with a degree from Warwick University?

Not at all. MBB recruit primarily from Oxford, not exclusively. Maybe 4 out of 5 MBBers will be Oxbridge. But the rest come from lots of places. You will need to be good though. Make sure to demonstrate strong academics and great ECs to have a shot at getting an interview. Once you do that, its all down to your performance on the day.

Not at all. I personally know 2 people from Warwick working at MBB firms, and McKinsey generally hires 2-3 candidates from that university per year. But you need to put several unique things on your CV, e.g. starting a business at uni, good internship etc.

Although they may represent a minority, I know several people within McKinsey who are from the University of Bath. Again, echoing the comments above, they had excellent experience, grades and extra-curricular achievements. I do know more people from Oxford and Cambridge who are there though.

Thanks for the replies, really appreciated advice. Im very interested in the consulting industry and of course understand that there is life outside MBB, but its at least reassuring to know i've still got a shot at one of the top strat houses. Again, thanks for the help.

..and if all else fails there is always PA!

Even if PA fails, there is always Consulting Point to go to for a job in MBB (what with ~70% of the TC advertisements belonging to them even in this market condition)!