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In the framework of research into radioactive waste disposal, it was decided to investigate the thermally induce pore pressure occurring in the Callovo-Oxfordian claystone, a possible host rock in which the ANDRA underground laboratory of Bure (East of France) has been excavated. Thermal pore pressures appear in low permeability soils and rocks because the thermal expansion coefficient of water is significantly higher than that of the solid grains (Campanella and Mitchell; 1968 [1], Ghabezloo and Sulem; 2009 [2]). This phenomenon has clearly been observed in various in-situ heating tests conducted in Opalinus claystone in the Mont-Terri Underground Research Laboratory (URL) in Switzerland (HE-D test) and in Callovo-Oxfordian (COx) claystone in the Bure URL in France (TER test, Wileveau and Su; 2007 [3]) The processes of coring, transportation, storage and specimen trimming induce some desaturation in the sample. Due to the very low permeability (10-20 m2) of the COx claystone, a long period of time is necessary to properly resaturate the sample, a mandatory condition to satisfactorily investigate thermal pressurisation. Particular emphasis was hence put on the previous saturation procedure that was carried out under in-situ effective stress condition. Thermal pressurization has been investigated by performing undrained heating tests while measuring pore pressures changes in a specially adapted thermal isotropic compression cell. Special care was devoted to calibration procedures to account for the effects of the system on the pore pressure measurements. The thermal pressurization coefficient measured appeared to change with temperature, mainly because of the changes with temperature of both the water thermal expansion coefficient of water and the drained compression coefficient of the claystone.