If a house has external walls of cavity construction, it is likely the party walls will have been built in the same way. Where party cavity walls are left uninsulated, heat can rise up through the void in the wall and escape through the loft, making the home feel cold. Party cavity walls can be insulated in the same way as external cavity walls, there is more info on cavity wall insulation here.
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Unsealed party cavity walls are recommended to be filled, ensuring care is taken to inspect the wall and confirm the cavity is capped prior to insulation. Mineral wool insulation in a polythene covers can be used as a cavity closer. Party cavity wall insulation will always require a signed agreement with the neighbouring homeowner.