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Protease inhibitors influence a range of innate immunity and inflammatory pathways. We quantified plasma concentrations of key anti-inflammatory protease inhibitors in chronic haemodialysis patients with coronavirus disease 2019 (COVID-19). The samples were collected early in the disease course to determine whether plasma protease inhibitor levels associated with the presence and severity of COVID-19. We used antibody-based immunoassays to measure plasma concentrations of C1 esterase inhibitor, alpha2-macroglobulin, antithrombin and inter-alpha-inhibitor heavy chain 4 (ITIH4) in 100 serial samples from 27 haemodialysis patients with COVID-19. ITIH4 was tested in two assays, one measuring intact ITIH4 and another also detecting any fragmented ITIH4 (total ITIH4). Control cohorts were 32 haemodialysis patients without COVID-19 and 32 healthy controls. We compared protease inhibitor concentration based on current and future COVID-19 severity and with C-reactive protein. Results were adjusted for repeated measures and multiple comparisons. Analysis of all available samples demonstrated lower plasma C1 esterase inhibitor and α2M and higher total ITIH4 in COVID-19 compared with dialysis controls. These differences were also seen in the first sample collected after COVID-19 diagnosis, a median of 4 days from diagnostic swab. Plasma ITIH4 levels were higher in severe than the non-severe COVID-19. Serum C-reactive protein correlated positively with plasma levels of antithrombin, intact ITIH4 and total ITIH4. In conclusion, plasma protease inhibitor concentrations are altered in COVID-19.