Inclusion criteria

1. Patients ≥18 years old
2. Eastern Cooperative Oncology Group (ECOG) performance status 0-2
3. Presence of measurable disease, (defined as a serum IgM level of \>0.5g/L) and fulfils other World Health Organisation (WHO) diagnostic criteria for WM
4. Relapsed or refractory WM who have received ≥1 prior lines of therapy
5. Adequate renal function: estimated creatinine clearance ≥ 30ml/min as calculated using the Cockroft-Gault equation
6. Adequate liver function, including:

* Bilirubin ≤1.5x the upper limit of normal (ULN)
* Aspartate or alanine transferase (AST or ALT) ≤2.5 x ULN
7. Adequate organ and bone marrow function:

* Neutrophils ≥0.75x109/L
* Platelets ≥50x109/L
8. Willing to comply with the contraceptive requirements of the trial
9. Negative serum or highly sensitive urine pregnancy test for women of childbearing potential (WOCBP)
10. Written informed consent

Exclusion criteria

1. Refractory to rituximab as defined by progression on/within 6 months of finishing a rituximab based regimen
2. Women who are pregnant or breastfeeding, or males expecting to conceive or father children at any point from the start of treatment until 4 months after the last administration of pembrolizumab
3. Clinically significant cardiac disease within 6 months prior to registration including unstable angina or myocardial infarction, uncontrolled congestive heart failure (NYHA class III-IV), and unstable arrhythmias requiring therapy, with the exception of extra systoles or minor conduction abnormalities. Stable and controlled atrial fibrillation is not an exclusion.
4. History of significant cerebrovascular disease in last 6 months
5. Known central nervous system involvement of WM
6. Clinically significant active infection requiring antibiotic or antiretroviral therapy (including Hepatitis B, C or human immunodeficiency virus (HIV))
7. Significant concurrent, uncontrolled medical condition including, but not limited to, renal, hepatic, haematological, gastrointestinal, endocrine, pulmonary, neurological, cerebral or psychiatric disease
8. Has a known additional malignancy that is progressing or requires active treatment. Exceptions include basal cell carcinoma of the skin, squamous cell carcinoma of the skin, or in situ cervical cancer that has undergone potentially curative therapy
9. Active autoimmune disease apart from:

* Type I diabetes or thyroid disease, controlled on medication
* Skin conditions such as psoriasis, vitiligo or alopecia not requiring systemic treatment
* Auto-immune thrombocytopenia, thought to be secondary to WM, provided that platelet count meet the criteria specified above, on daily doses of corticosteroid ≤10mg prednisolone or equivalent
10. Prior history of haemolytic anaemia (either warm or cold)
11. History of colitis
12. History of (non-infectious) pneumonitis that required steroids or has current pneumonitis
13. Systemic anti-cancer therapy within 4 weeks prior to trial registration (except for BTK inhibitors, which may continue until cycle 1, day 1 of trial treatment)
14. Received a T cell depleting antibody (e.g. Campath) within 3 months prior to starting treatment
15. Received a live vaccine within 30 days prior to starting treatment
16. Chronic or ongoing active infectious disease requiring systemic treatment such as, but not limited to, chronic renal infection, chronic chest infection with bronchiectasis, tuberculosis and active hepatitis
17. Patients who have received treatment with any non-marketed drug substance or experimental therapy within 4 weeks prior to starting treatment (unless prior agreed with the TMG)
18. Patients known or suspected of not being able to comply with a study protocol (e.g. due to alcoholism, drug dependency or psychological disorder)
19. Positive serology for Hepatitis B defined as a positive test for HepB surface antigen (HBsAg). Note: patients who are HepB core antibody (HBcAb) positive will only be eligible for the study if the HepB virus deoxyribonucleic acid (HBV DNA) test is negative and patients are willing to undergo monthly monitoring for HBV reactivation
20. Major surgery within 4 weeks prior to trial registration
21. Prior therapy with an anti-PD-1,anti-PD-L1 or CTLA4 monoclonal antibody
22. Prior allogeneic bone marrow transplantation
23. Diagnosis of prior immunodeficiency or organ-transplant requiring immunosuppressive therapy or known HIV or acquired immunodeficiency syndrome (AIDS)-related illness
24. Current or prior use of immunosuppressive therapy within 7 days prior to start of treatment except the following: intranasal, inhaled, topical steroids or local steroid injections (eg. Intra-articular injections); systemic corticosteroids at physiologic doses (\<10mg/ day of prednisolone or equivalent)
25. Known or suspected hypersensitivity to components of pembrolizumab and/or rituximab (or other CD20 monoclonal antibody)
26. Current participation in any other clinical trial of an investigational medicinal product (CTIMP)