Login failed for user (null) with Remote References (CAO) in Remoting

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I have a very simple C# remoting application, IIS hosted, using remote
references (MarshalbyRef objects) and a Factory model (singleton) on windows
2003 with Kerberos Delegation Scenario and Windows Authentication that
access an SQL Server DBMS hosted on other server. The Kerberos / Windows
scenario is correctly configured and working fine.

If a client tries to open an sql connection using the factory ( a wellknow
Server Activated Object), the connection is successfully established. But
when a clients tries to open the sql connection using a method of the
remote reference (an instance I get with the Factory.GetRemoteObject()
method) the following exception is raised:

System.Data.SqlClient.SqlException:
Login failed for user (null) Reason: Not associated with a trusted SQL
Server connection.
Source: .Net SqlClient Data Provider
at System.Data.SqlClient.SqlInternalConnection.OpenAndLogin()
at System.Data.SqlClient.SqlInternalConnection..ctor(SqlConnection
connection, SqlConnectionString connectionOptions)
at System.Data.SqlClient.SqlConnection.Open()

Why is not possible to open connections using remote references (Client
Activated Objects) under this scheme ?