Impersonation and Delegation

I am using impersonation is used to access file on UNC share as below.

  var ctx = ((WindowsIdentity)HttpContext.Current.User.Identity).Impersonate();  string level = WindowsIdentity.GetCurrent().ImpersonationLevel);

On two Windows 2003 servers using IIS6, I am getting different impersonation levels: Delegation on one server and Impersonation on the other server.

This causes issues where I am unable to access the UNC share on the server with 'Impersonation' level.

What could be causing this difference? I searched through machine.config and IIS settings for the app pool, site and virtual directories - but aren't able to find the cause of this problem.