Access Azure Blob Storage via Azure SQL Database through Managed Identity

Question

I am trying to connect to Azure Blob storage via Azure SQK database through Managed Identity based on the below set of steps:

Assigned an Identity to the Server

Gave access to the Server on Blob storage as contributor

Executed the below queries

Create Master Key

CREATE DATABASE SCOPED CREDENTIAL MSI WITH IDENTITY = 'Managed Service Identity';


    CREATE EXTERNAL DATA SOURCE [BlobStorage] WITH
(  
    TYPE = BLOB_STORAGE,
    LOCATION = 'https://<<blobnm>>.blob.core.windows.net/<<containerNm>>',
    CREDENTIAL = MSI
)

create table test
(
c1 varchar(5),
c2 varchar(4)
)

BULK INSERT test from 'poly.csv' WITH ( DATA_SOURCE = 'BlobStorage',FORMAT='csv',FIRSTROW = 2 );

But I am getting the below error :

Cannot bulk load because the file "msi/poly.csv" could not be opened. Operating system error code 86(The specified network password is not correct.)

So can anyone tell me what I am missing out ?