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Autophagy is one of the main cellular catabolic pathways controlling a variety of physiological processes, including those involved in self-renewal, differentiation and death. While acute promyelocytic leukemia (APL) cells manifest low levels of expression of autophagy genes associated with reduced autophagy activity, the introduction of all-trans retinoid acid (ATRA)—a differentiating agent currently used in clinical settings—restores autophagy in these cells. ATRA-induced autophagy is involved in granulocytes differentiation through a mechanism that involves among others the degradation of the PML-RARα oncoprotein. Arsenic trioxide (ATO) is another anti-cancer agent that promotes autophagy-dependent clearance of promyelocytic leukemia retinoic acid receptor alpha gene (PML-RARα) in APL cells. Hence, enhancing autophagy may have therapeutic benefits in maturation-resistant APL cells. However, the role of autophagy in response to APL therapy is not so simple, because some autophagy proteins have been shown to play a pro-survival role upon ATRA and ATO treatment, and both agents can activate ETosis, a type of cell death mediated by the release of neutrophil extracellular traps (ETs). This review highlights recent findings on the impact of autophagy on the mechanisms of action of ATRA and ATO in APL cells. We also discuss the potential role of autophagy in the development of resistance to treatment, and of differentiation syndrome in APL.