Bintrafusp Alfa in High Mobility Group AT-Hook 2 (HMGA2) Expressing Triple Negative Breast Cancer

Inclusion Criteria:

* Study participants have histologically or cytologically confirmed TNBC
* Absence of human epidermal growth factor receptor 2 (HER2), estrogen receptor, and progesterone receptor expression must be documented (criteria for defining TNBC are outlined in the protocol)
* Participants must have received at least one line of systemic therapy for metastatic disease and have progressed on the line of therapy immediately prior to study entry. There is no limit to the number of prior therapies
* Participants may prescreen for HMGA2 expression while on preceding treatment, however screening should only occur if in the opinion of the Investigator, the participant would likely be eligible for study within 6 months
* Participants must have measurable disease
* Availability of either archival tumor tissue or fresh core or excisional biopsy of a tumor lesion (primary or metastatic, excluding bone biopsies) is mandatory to determine HMGA2 expression level prior to enrollment
* HMGA2 high tumor expression is required and will be determined by a central lab
* Participants who have Eastern Cooperative Oncology Group (ECOG) PS of 0 to 1
* Participants have a life expectancy greater than or equal to (\>=) 12 weeks as judged by the Investigator at study start
* Participants have adequate hematological, hepatic and renal and coagulation function as defined in the protocol
* Participants with known Human Immunodeficiency Virus (HIV) infections are in general eligible if the criteria as defined in the protocol are met (Food and Drug Administration \[FDA\] Guidance on Cancer Clinical Trial Eligibility, March 2019)
* Participants with hepatitis B virus (HBV) and/or hepatitis C virus (HCV) infections are in general eligible if the criteria as defined in the protocol are met (FDA Guidance on Cancer Clinical Trial Eligibility, March 2019)
* Other protocol defined inclusion criteria could apply

Exclusion Criteria:

* Participants with active central nervous system (CNS) metastases causing clinical symptoms or metastases that require therapeutic intervention are excluded. Participants with a history of treated CNS metastases (by surgery or radiation therapy) are not eligible unless they have fully recovered from treatment, demonstrated no progression for at least 4 weeks, and are not using steroids for at least 7 days prior to the start of study intervention
* Participants must not have received prior cancer treatment with any other immunotherapy or checkpoint inhibitors, or any other immune-modulating monoclonal antibody
* Participants that received any organ transplantation, including stem-cell transplantation, but with the exception of transplants that do not require immunosuppression
* Participants with significant acute or chronic infections
* Participants with active autoimmune disease that might deteriorate when receiving an immunostimulatory agent
* Participants with clinically significant cardiovascular/cerebrovascular disease including: cerebral vascular accident/stroke, myocardial infarction, unstable angina, congestive heart failure, or serious cardiac arrhythmia
* Other protocol defined exclusion criteria could apply