Indication: Colorectal (third or fourth line), ovarian (second or third line), small cell lung cancer (second line), breast cancer (triple negative; second line), acute myelogenous leukemia (unable to attain deeper response than partial on hypomethylators and who are not eligible for allogeneic hematop oietic stem cell transplant). For all the solid tumor indications, the highest citable number of lines of the therapy above is the maximum allowed for eligibility, i.e., patients who have received subsequent lines of therapy are ineligible. SELLAS Life Sciences Group Galinpepimut -S Protocol : SLS17 -201/MK3475 -770 Protocol v1.1 (Amendment 1.0) 12 April 2019 Page 22 Rationale: There is clearly an unmet need for novel and effective therapy to improve responses and prolong disease remission/progression-free intervals already achieved with checkpoint blockade monotherapy ( Farkona et al, 2016). The objectives of this proposed clinical study are: (i). to explore clinical outcomes (safety and potentially promising activity) in tumors using a combination of agents that improve immune - mediated anticancer effects, namely pembrolizumab and galinpepimut-S, and (ii). to maximize the chances of detecting a clinically meaningful efficacy signal in comparison to historical monotherapy data (with pembrolizumab alone) for further validation in larger, randomized trials. To meet these objectives, the current design of a Phase 1/2 open-label, non-comparative, multicenter, multi-arm clinical study was chosen, as it has been used successfully in similar studies before (Menis et al, 2014; Toulmonde et al, 2018; Goldberg et al, 2016), and therefore considered as highly suitable for this trial. The rationale behind this clinical study consist of 2 parts: a general strategy and a specific approach choosing Wilms Tumor-1 (WT1) protein as a direct immunization target and the selection of specific tumors for inclusion. Up to 5 tumor types will be included: colorectal cancer (CRC), ovarian cancer (OvC), small cell lung cancer (SCLC), triple-negative breast cancer (TNBC), and acute myeloid leukemia ( AML). Immune activation, suggested by the presence of infiltrating cytotoxic T cells in tumors, as well as eventual maintenance of a long-term proimmune status against the SELLAS Life Sciences Group Galinpepimut -S Protocol : SLS17 -201/MK3475 -770 Protocol v1.1 (Amendment 1.0) 12 April 2019 Page 23 tumor via memory T cells, have shown be associated with a better prognosis across a wide variety of malignancies ( Reeves et al, 2017; Wölfl M et al, 2014). Therapies blocking programmed death receptor-1 (PD-1), such anti-PD-1 monoclonal antibodies, have shown the ability to reduce inhibitory immune signals within the tumor microenvironment (TME), thus allowing cytotoxic T cells to infiltrate the tumor and cause tumor regression in an expanding group of human malignancies, leading to a series of regulatory approvals and clinical usage on a global scale ( Interkofer et al, 2013; Kyi et al, 2014; Spranger et al, 2016). These advances notwithstanding, there is significant room for improvement in the depth, frequency, and duration of antitumor responses with anti-PD1 agents. This provides a strong rationale for developing strategies to prime a host (cancer patient) with tumor -specific cytotoxic T cells targeted to specific tumor antige ns via host administration while increasing the likelihood of significantly amplifying such a specific response with an anti-PD1 therapy (in this case, pembrolizumab), as well as prolong the duration of such a response (Perez-Gracia, et al, 2014) by both mitigation of tolerance and via induction of memory T cells [ Marzo et al, 2000]). Thus, combining innovative, highly tolerable actively immunizing agents, such as peptide vaccines against well - validated high-antigenicity tumor targets, with anti-PD-1 products, such as pembrolizumab (Keytruda®) represents a highly attractive strategy, which deserves assessment in the clinical setting (Parchment et al, 2016; Drake CG, 2012). The Wilms Tumor-1 (WT1) protein, the WT1 oncogene product, was first identified in childhood renal tumors, but has SELLAS Life Sciences Group Galinpepimut -S Protocol : SLS17 -201/MK3475 -770 Protocol v1.1 (Amendment 1.0) 12 April 2019 Page 24 been found to be overexpressed in a high proportion of solid and hematological malignancies, while its expression is substantially void in most healthy adult tissues (Wagner et al, 2014). Each WT1 protein isoform has different DNA binding and transcriptional activities, and can positively or negatively regulate various genes involved in cellular proliferation, differentiation, apoptosis, organ development, and sex determination (Haber et al, 1991). Although originally described as a tumor suppressor gene, the WT1 proteins appear to be involved in tumorigenesis as a bona fide oncogene ( Keilhoz et al, 2005; Lindstedt, et al, 2014). As WT1 is a transcription factor and is not expressed intact in the cell membrane, it has not been able to be targeted (druggable) with either small molecules or monoclonal antibodies (Toska et al, 2014). Nonetheless, the protein is processed by the proteasome in tumors and the derived peptides are pres ented in a major histocompatibility complex (MHC)-dependent manner on the cell surface. Furthermore, WT1 peptide fragments when administered as direct immunogens (vaccines) are also taken up by antigen- presenting cells (APCs) and processed by the immunoproteasome for MHC-dependent presentation (Jiagirdar et al, 2016; Asemissen et al, 2006; Müller et al, 2003). Thus, WT1 is a highly attractive target for immunotherapy ( Oka et al, 2002; Oka et al, 2007). WT1 was ranked as the top cancer antigen by a working group organized by the National Cancer Institute (NCI) in 2009 (Cheever, et al, 2009). The strong expression of WT1 protein in assorted cancers, coupled with its proposed mechanism of antigenicity and induction of immune responses (both CD4 and CD8 [Chapuis et al, 2013; Dao et al, SELLAS Life Sciences Group Galinpepimut -S Protocol : SLS17 -201/MK3475 -770 Protocol v1.1 (Amendment 1.0) 12 April 2019 Page 25 2016; Tyler et al, 2013; Tyler and Koehne, 2013; Fujiki et al, 2008; Krug et al; 2010]); after direct immunization against WT1 in patients with assorted cancers), makes it a rational candidate for the development of specific immuno therapies, such as peptide vaccines (Van Driesshe et al, 2012; Oka and Sugiyama, 2010; Oka et al, 2009; Dao and Seheinbert, 2008). Galinpepimut-S is a directly immunizing therapy (a vaccine -like proprietary mixture of carefully selected heteroclitic and native WT1 peptide fragments) proven to produce WT1 -specific T-lymphocytes in patients that could target a patient’s cancer (Gomez-Nunez et al, 2006; Pinilla-Ibarz et al, 2006; Bleakley and Ridell, 2011; May et al, 2007; Brayer and Pinilla-Ibarz, 2013). Additionally, galinpepimut-S monotherapy has previously shown promising clinical activity in both pilot and Phase 2 studies in patients with AML, malignant pleural mesothelioma (MPM), high-risk multiple myeloma, and ovarian cancer (OvC) in a minimal residual disease (MRD) setting (Maslak et al, 2010; Krug et al 2010; Brayer et al, 2015; Maslak et al, 2016; Maslak et al, 2018; Zauderer et al, 2016; Zauderer et al, (iMig), 2016; Zauderer et al, 2017; Koehne et al 2017; http://e-materials.com/ebmt2017/#/presentation/16745 ; https://learningcenter.ehaweb.org/eha/2017/22nd/181028/guenther.koehne.wt1.heteroclitic.epitope.immunization.following.autologous.html; Koehne et al, 2018; O’Cearbhaill et al, 2018; Tsuboi et al, 2012). Galinpepimut-S is generally well tolerated. (SELLAS, Data on file; Brayer et al, 2015; Zauderer et al, 2017; Maslak PG et al, 2018; Koehne et al, 2017; O’Cearbhaill et al, 2018; Galinpepimut-S Investigator Brochure v2.0, 08 June 2017). SELLAS Life Sciences Group Galinpepimut -S Protocol : SLS17 -201/MK3475 -770 Protocol v1.1 (Amendment 1.0) 12 April 2019 Page 26 Therefore, combining galinpepimut-S with the checkpoint inhibitor pembrolizumab, which beneficially and profoundly alters the TME (among other potent immunostimulatory effects in the host), is hypothesized to increase the proportion of patients who develop an immune response against their cancer and potentially improve their clinical outcome over pembrolizumab monotherapy, without the burden of additional toxicities in macroscopically measurable malignancies. In this clinical trial, for each chosen tumor type to be studied, we will investigate whether galinpepimut-S administered concomitantly with granulocyte-macrophage colony-stimulating factor (GM-CSF) and the well-characterized adjuvant Montanide (van Doorn et al, 2016; Montanide IB 2015; Aucouturier et al, 2002; Aucouturier et al, 2001; Tovey and Lallemand, 2010) can be safely administered with pembrolizumab. We postulate that galinpepimut-S will induce a WT1-specific immune response, which will be associated with enhancement of the efficacy of anti-PD1 monotherapy when considered in the context of historical con trols, as assessed by overall response rate (ORR), as well as duration of response (DOR), and well as exploratory endpoints including WT1 - specific immune response dynamics and overall survival (OS), will be investigated. If this pilot study meets the primary efficacy endpoint of ORR for a given tumor type, a randomized Phase 2 trial would be warranted in that tumor type. The tumor types selected for this trial (CRC, OvC, SCLC, TNBC, and AML) have been documented to commonly express WT1, and this trial will select patients whose tumors are positive SELLAS Life Sciences Group Galinpepimut -S Protocol : SLS17 -201/MK3475 -770 Protocol v1.1 (Amendment 1.0) 12 April 2019 Page 27 for WT1 expression. The choice of these tumor types was based on specific features of each malignancy. Colorectal cancer (CRC): WT1 expression has been documented to be expressed in between 70 to 90% of patients with CRC (Miyata et al, 2007; Oji et al, 2003; Bejrananda et al, 2011). Patients with microsatellite-stable (MSS) tumor genetics make up between 80 to 90% of cases (Naboush et al, 2017; Diaz and Le, 2015). Patients will have microsatellite (MS) instability (MSI) status tested in their primary tumors and will be classified as MSI-high (H) and -low (L) (Pawlik et al, 2004; Morán et al, 2010; Supek and Lerner, 2015; Goldstein et al, 2014). The focus will be on MSI-low tumors, but no entry selection will be applied based on this tumor feature. In several clinical trials in MSI-L CRC, anti-PD-1 agents have shown to induce 0 to 5% ORR (Link and Overman, 2016; http://www.targetedonc.com/publications/targeted -therapies- cancer/2017/2017-february/immune-checkpoint-inhibitors-in-crc; Boland and Ma, 2017; Myint and Goel, 2017; Overman et al, 2016; Segal et al, 2016; Bendell et al, 2016; Overman et al, 2016; Andre et al, 2017). This is in contrast to the significant activity of PD1 blockade in MSI-H CRC, the basis for the recent Food and Drug Administration (FDA) approval of pembrolizumab in MSI-H cancers (including CRC) (https://www.fda.gov/NewsEvents/Newsroom/PressAnnouncements/ucm560167.htm). Only those CRC patients with MSI-L and MSS will be included in the efficacy analyses . Ovarian cancer (OvC): WT1 expression is highly prevalent in OvC (Dupont et al, 2004). The degree of expression is high enough that pathologists routinely use IHC stains for WT1 with SELLAS Life Sciences Group Galinpepimut -S Protocol : SLS17 -201/MK3475 -770 Protocol v1.1 (Amendment 1.0) 12 April 2019 Page 28 a standardized convention for describing its expression to help distinguish epithelial ovarian cancers from other ovarian/fallopian tumors (Al-Hussaini et al, 2004). WT1 is a particularly sensitive and specific marker for serous ovarian cancer (Acs, et al, 2004). Small -cell lung cancer (SCLC): WT1 expression has not been studied in SCLC as extensively as in non-SCLC (NSCLC), mainly due to the relative rarity of the former. Nonetheless, WT1 positivity is higher (40 to 83%) in SCLC versus NSCLC (Babiak et al, 2014; Menssen et al, 2000; Oji et al, 2002; Wang et al, 2013). The activity of anti-PD1 agents in SCLC in the second line of therapy is reflected in ORR values of about 33 to 37% (Ott et al, 2016; Hellman et al, 2016; Antonia et al, 2016; Riess et al, 2016). Triple-negative breast cancer (TNBC): Although WT1 expression occurs in 70 to 80% of patients with basal-type breast cancer, in specimens from TNBC (Provenzano et al, 2016; Domfeh et al, 2008), WT1 expression is approximately 8 to 15%. Nonetheless, this value may represent low sensitivity of currently used, commercially available anti-WT1 monoclonal antibodies used for IHC (Ichinohasama 2010). Additionally, WT1 has been found to be focally amplified in a significant proportion of TNBCs and hence is still a valid immuno-oncology target, despite its low abundance o bserved (Craig et al, 2012). Acute myeloid leukemia (AML ): WT1 is strongly and prevalently (90 to 95% of cases) expressed in AML blasts both in the peripheral blood (PB) and bone marrow (BM) (Inoue et al, 1998; Hosen et al, 2002; Keilholz et al, 2005; Cilloni et al SELLAS Life Sciences Group Galinpepimut -S Protocol : SLS17 -201/MK3475 -770 Protocol v1.1 (Amendment 1.0) 12 April 2019 Page 29 2009; Menssen et al, 1995; Inoue et al, 1997). It is also expressed in leukemic stem cells (LSCs) (Saito et al 1997; Yong et al, 2008). WT1 expression is reliable enough to be used as a marker of MRD in AML (as a molecular marker of relapse/response) (Alonso-Dominguez et al, 2012; Messina et al, 2014; Ogawa et al, 2003; Candoni et al, 2009; Hämäläinen et al, 2008; Mulé et al, 2016) and is typically included in MRD diagnostic multi-gene panels (Buccisano et al, 2017). To date, anti-PD1 therapies have shown modest activity in relapsed AML (second line) in combination with hypomethylating agents (Lichtenegger et al, 2017; Haroun et al, 2017) as reflected in ORR values of up to 34% in that setting (Daver et al, 2016; Daver et al, 2017; Nagler et al, 2017; Krupka et al, 2016; Sehgal et al, 2015; http://www.targetedonc.com/publications /targeted- therapies-cancer/2017/2017-february/immune-checkpoint-approaches-in-aml-and-mds-a-next-frontier; Chien et al, 2018; Daver et al, 2018). Objectives: Primary Objectives: • To evaluate the safety and tolerability of galinpepimut -S in combination with pembrolizumab in patients with selected advanced cancers • To evaluate the anti-tumor activity of the combination of galinpepimut-S and pembrolizumab as defined by Response Criteria in Solid Tumors (RECIST) 1.1 and Immune-related Response Criteria in Solid Tumors (iRECIST) to determine if the activity seen , as measured by ORR, is sufficiently promising to evaluate the combination in future clinical studies. For AML patients: to study the possibility of achieving morphologic SELLAS Life Sciences Group Galinpepimut -S Protocol : SLS17 -201/MK3475 -770 Protocol v1.1 (Amendment 1.0) 12 April 2019 Page 30 complete response (CR; including CR with incomplete recovery of blood counts or platelets [CRi/CRp]). Hypothesis for the Primary Objectives: Combining galinpepimut-S with pembrolizumab could increase the clinical benefit of pembrolizumab monothera py (Seledstov et al, 2015; Kleponis et al, 2015) as assessed by improved ORR values versus historical controls for each individual tumor type tested. This would constitute a “positive efficacy signal” (as relevant to each particular tumor type tested) and warrant broader future clinical investigations. Further, the combination will not increase the burden of toxicities and will have an overall similar/comparable adverse event (AE) profile as pembrolizumab monotherapy. (N.B.: The a priori statistical assumptions and threshold criteria supporting the definition of a positive signal are described in detail in Section 7.6.). Secondary Objectives: • To evaluate the clinical benefit of galinpepimut-S in combination with pembrolizumab in patients with selected advanced cancers through the analysis of time to response (TTR), time to next treatment, and duration of response (DOR) Hypothesis for the Secondary Objectives: Galinpepimut-S in combination with pembrolizumab could increase the clinical benefit of pembrolizumab monotherapy upon parameters other than ORR, such as TTR, time to next treatment, and DOR. In SELLAS Life Sciences Group Galinpepimut -S Protocol : SLS17 -201/MK3475 -770 Protocol v1.1 (Amendment 1.0) 12 April 2019 Page 31 case of a positive efficacy signal, such effects could be correlated with effects on ORR (vs. historical controls). Exploratory Objectives: • To further characterize the immunogenicity profile of galinpepimut-S when administered in this combination, i.e., its ability to generate WT1 -specific immunocyte responses through analyses of WT1-specific CD8 and CD4 cells in PB, as well as WT1-specific memory CD8 T cells, myeloid-derived suppressor cells [MDSC], and T-regulatory cells (Treg) in PB • To gauge the general immunodynamics effects upon non-antigen-specific lymphocyte immunophenotypic subtypes will be studied in PB via flow cytometry • To assess the effects of the combination on defined biomarkers of immune checkpoint activity in the tumors (or bone marrow for AML patients) and their surrounding microenvironment (pharmacodynamics specific to pembrolizumab) • To assess the association between selected biomarker readouts and clinical efficacy measures at specific time-points, using pre-treatment and on-treatment tumor biopsies • To assess OS and progression-free survival (PFS) • To assess the rate of achievement of MRD negativity (for patients in the AML arm only). Hypothesis for Exploratory Objectives: Combining galinpepimut-S with pembrolizumab could lead to the development of a robust WT1-specific immune response SELLAS Life Sciences Group Galinpepimut -S Protocol : SLS17 -201/MK3475 -770 Protocol v1.1 (Amendment 1.0) 12 April 2019 Page 32 against patients’ cancers, and potentially improve the abundance and functionality of the hosts’ immunocytes within the TME (versus pembrolizumab monotherapy) (Duraiswamy et al, 2013). Positive correlative analyses (as relevant to a particular tumor type) between immune and clinical outcomes would provide a mechanism of action (MOA) framework to inform the design of future larger, randomized clinical studies in that tumor type. Overall Study Design: This is a Phase 1/2, open-label, non-comparative, multicenter, multi-arm study of galinpepimut-S in combination with pembrolizumab in patients with selected advanced cancers . This study will assess efficacy and safety of galinpepimut-S and pembrolizumab on various tumor types. Patients will be followed long-term for OS and safety. The general principles regarding the schedule of adm inistration of the investigational therapies will be as follows: Overall Treatment Investigational Administration Schedule The first 2 galinpepimut-S injections will initially be administered as monotherapy every 3 weeks (Week 0 and Week 3). Thereafter, galinpepimut-S will be co-administered with pembrolizumab every 3 weeks for 4 additional administrations (for the galinpepimut-S initial immunization induction phase series; weeks 6-15) to coincide with the per label pembrolizumab dosing frequency. After that, there will be one un-paired administration of pembrolizumab (week 18), and then galinpepimut-S will be resumed on an every 3-week schedule for 6 additional doses (early immune booster phase; weeks 21-36). At the end of this phase, there will be a 12 -week interval where 3 unpaired administrations of pembrolizumab SELLAS Life Sciences Group Galinpepimut -S Protocol : SLS17 -201/MK3475 -770 Protocol v1.1 (Amendment 1.0) 12 April 2019 Page 33 will occur (weeks 39-45), and then galinpepimut-S will be resumed on an every 12-week schedule for 4 additional doses (late immune booster phase; weeks 48-84). After 84 weeks, continuing non-progressed patients will be treated with pembrolizumab alone up until week 111. Galinpepimut-S will be administered 30-60 minutes after the completion of IV infusion of pembrolizumab on Day 1 of each cycle during which the 2 drugs are being co-administered. Pembrolizumab will be administered at a dose of 200 mg intravenously every 3 weeks on Day 1 of each cycle (3-week cycles) starting on Study Week 6 and continuing for up to 2 years thereafter (Study Week 111). To monitor for any adverse reactions, specifically for systemic anaphylaxis type reactions against either GM -CSF or galinpepimut-S, patients will remain in the clinic for approximately 30 minutes following each GM-CSF or galinpepimut-S injection. Safety assessments will be conducted at every visit. The end of treatment (EOT) visit will occur 30 days after the last injection. Specifically for patients in the AML arm, the timing of the administration of the investigational therapies (pembrolizumab and galinpepimut-S) with respect to administration of hypomethylating agents (HMAs) will be as follows: • AML patients on cycles #1 – 4 of HMA on-label therapy (treated according to standard clinical care) will be pre-screened to gauge potentially eligibility for the study. • If restaging bone marrow biopsy immediately after the completion of cycle #4 of HMA therapy demonstrates SELLAS Life Sciences Group Galinpepimut -S Protocol : SLS17 -201/MK3475 -770 Protocol v1.1 (Amendment 1.0) 12 April 2019 Page 34 morphological partial response (PR), then such patients become eligible for the study and can initiate investigational therapy (pembrolizumab and galinpepimut-S), as long as the latter commences prior to the initiation of cycle #5 of the HMA. • Reasonable efforts will be made by the Contracted Research Organization (CRO), Cancer Insight, LLC, at actively enrolling clinical sites to initiate investigational therapy within 14 +/7 days from the completion of cycle #4 of HMA therapy, to ensure relative homogeneity in the initiation timing relationship between the two therapeutic modalities, i.e., HMA and investigational therapy. Furthermore, for clarification purposes, each cycle of therapy in patients in the AML arm will be defined by the freq uency of administration of the study investigational agents (pembrolizumab and galinpepimut- S), i.e., 3 weeks. This clarification is important, because: a. patients in the AML arm will continue their HMA therapy throughout the administration of study investigational agents and b. the timing of initiation between HMA cycle #5 and that of the first administration of investigational therapies are de -linked. Number of Patients Approximately up to 90 patients will be enrolled in the study. The planned number of patients within each tumor -specific cohort is as follows: CRC (N = 20), OvC (N = 20), SCLC (N = 20), TNBC (N = 15), and AML (N = 15). SELLAS Life Sciences Group Galinpepimut -S Protocol : SLS17 -201/MK3475 -770 Protocol v1.1 (Amendment 1.0) 12 April 2019 Page 35 Summary of Subject Key Eligibility Criteria: For inclusion in the study, patients will be: • Male or female ≥ 18 years of age at the time of signing the informed consent form, have histologically or cytologically-confirmed advanced or metastatic solid tumors (CRC, OvC, SCLC, or TNBC) or AML with best response of “partial response” (PR) after 4 cycles of HMA therapy (per European LeukemiaNet [ELN] criteria). All tumor types will also meet their additional cohort-specific requirements (see Section 4.1. below). • Specifically for patients in the AML arm, the following subject subgroups are eligible: § Frontline (1 st line) patients treated with HMAs since their initial AML diagnosis § Patients who have required cytoreductive therapy with hydroxyurea or leukapheresis at the time of their initial AML diagnosis, and who subsequently seamlessly transitioned to HMA therapy § Subjects who have experienced induction early failure after initial therapy with 1 - 2 cycles of a standard chemotherapy (“7+3” and similar regimens) and subsequently immediately treated with HMAs as long as such patients have achieved PR as their best observable response after 4 cycles of HMA therapy (per European LeukemiaNet [ELN] criteria). • At the time of screening for study entry, patients’ tumor material (or bone marrow [BM] for AML) will be tested for WT1 expression via immunohistochemistry (IHC) as follows: in the solid tumor arms, in both their initial SELLAS Life Sciences Group Galinpepimut -S Protocol : SLS17 -201/MK3475 -770 Protocol v1.1 (Amendment 1.0) 12 April 2019 Page 36 primary tumor and recent biopsy of metastatic disease, whereas in the AML arm in leukemic blasts (either in the BM or PB) at the time of initial diagnosis. . • At the time of screening for study entry, patients in the solid tumor arms should have measurable disease based on RECIST 1.1 criteria, whereas in the AML arm should have evidence of morphologic partial response (decrease of BM blast percentage to 5% to 25% and decrease of pretreatment BM blast percentage by > 50%) but absence of extramedullary disease, as defined initially by the AML Working Group Criteria (Cheson et al, 2003) and also quoted in the more recent ELN criteria ( Döhner et al, 2010). In both arms, tumor/leukemic blast burden will be determined by a local site investigator (physician) upon clinical and imaging/BM morphologic assessment.. • Adequate organ function as defined in Table 1 and Eastern Cooperative Oncology Group (ECOG) performance status of 0 or 1.