We investigate whether the dynamic response of aggregate consumption to monetary policy depends on the distribution of household debt relative to income. Using UK loan-level micro-data, we propose a novel approach to isolate the fraction of households with a limited ability to smooth consumption. By exploiting time and cross-sectional variation, we show that consumption responds more to monetary policy when the share of highly-indebted households is large, but find no state-contingency with respect to the overall level of debt-to-income. Our results highlight the role of household heterogeneity for understanding monetary transmission to aggregate consumption.