Rule Definition
CoSetProxyBlanket and CoInitializeSecurity sets the authentication/permission context information that will be used to make calls on the specified proxy. These methods are meant to be called from non-managed code such as a C++ wrapper that then invokes the managed, i.e. C# or VB.NET, code. By the time the user code starts executing in a managed process, it's too late to reliably call CoSetProxyBlanket. The common language runtime (CLR) takes initialization actions that may prevent the users P/Invoke from succeeding.

Remediation
Avoid making calls to the methods: CoSetProxyBlanket CoInitializeSecurity

Violation Code Sample

[DllImport("ole32.dll")]
static extern int CoSetProxyBlanket([MarshalAs(UnmanagedType.IUnknown)]object pProxy, uint dwAuthnSvc, uint dwAuthzSvc,
    [MarshalAs(UnmanagedType.LPWStr)] string pServerPrincName, uint dwAuthnLevel, uint dwImpLevel, IntPtr pAuthInfo,
    uint dwCapabilities);

public enum RpcAuthnLevel
{
    Default = 0,
    None = 1,
    Connect = 2,
    Call = 3,
    Pkt = 4,
    PktIntegrity = 5,
    PktPrivacy = 6
}

public enum RpcImpLevel
{
    Default = 0,
    Anonymous = 1,
    Identify = 2,
    Impersonate = 3,
    Delegate = 4
}

public enum EoAuthnCap
{
    None = 0x00,
    MutualAuth = 0x01,
    StaticCloaking = 0x20,
    DynamicCloaking = 0x40,
    AnyAuthority = 0x80,
    MakeFullSIC = 0x100,
    Default = 0x800,
    SecureRefs = 0x02,
    AccessControl = 0x04,
    AppID = 0x08,
    Dynamic = 0x10,
    RequireFullSIC = 0x200,
    AutoImpersonate = 0x400,
    NoCustomMarshal = 0x2000,
    DisableAAA = 0x1000
}

[DllImport("ole32.dll")]
public static extern int CoInitializeSecurity(IntPtr pVoid, int cAuthSvc, IntPtr asAuthSvc, IntPtr pReserved1,
    RpcAuthnLevel level, RpcImpLevel impers, IntPtr pAuthList, EoAuthnCap dwCapabilities, IntPtr pReserved3);

static void Main(string[] args)
{
    var hres1 = CoSetProxyBlanket(null, 0, 0, null, 0, 0, IntPtr.Zero, 0); // Noncompliant

    var hres2 = CoInitializeSecurity(IntPtr.Zero, -1, IntPtr.Zero, IntPtr.Zero, RpcAuthnLevel.None,
        RpcImpLevel.Impersonate, IntPtr.Zero, EoAuthnCap.None, IntPtr.Zero); // Noncompliant
}

https://docs.microsoft.com/en-us/visualstudio/code-quality/ca2001?view=vs-2019 OWASP A6: https://owasp.org/www-project-top-ten/2017/A6_2017-Security_Misconfiguration.html