ANZ's underperformance in the consumer banking market worsened in March as depositors shifted more of their savings and transaction accounts to other banks.Data published by the Australian Prudential Regulation Authority shows that the country's fourth largest bank suffered a A$397 million net outflow of retail deposits during the month, which depleted its household deposits base to $118.57 billion.The month-on-month slide follows a year-long trend that has seen ANZ's holdings of  retail deposits fall by more than $700 million.While CEO Shayne Elliott might defend the loss of market share as reflecting the bank's strategic move to rein in mortgage lending (and thereby reducing its funding requirements), the bottom line is that ANZ's market share of Australian retail banking  has shrunk since he took over as chief executive on 1 January 2016.On the day he took the reins, ANZ was managing $112.3 billion of retail deposits that accounted for 13.5 per cent of the household deposits market.It has grown by about $6.3 billion since then, but the bank's market share has fallen to 12.6 per cent. The bank has also gone backwards in all categories of home lending over the same period.When Elliott became CEO, ANZ's market share in the owner-occupier segment was at around 16.2 per cent but at the end of March it had dropped to 15.9 per cent.The loss of market share in retail banking might be defensible given the bank's ultra-cautious approach to lending as the property bubble began popping.However, Elliott conceded earlier this year that ANZ had over-cooked its pull-back from home lending.The wash up for Elliott is that he has not been able to deliver on at least one of the key strategic pledges he made when he took the CEO role: to grow the Australian retail bank.In March 2016, Elliott told Fairfax Media that he wanted to grow ANZ's presence in the local retail and commercial banking markets."I think that the retail and commercial businesses have a lot of growth opportunity because we are still a fundamentally small bank here at home," he said at the time."We can grow in almost any environment, and we can grow prudently, responsibly in any environment because we're small."In August 2017 he was beating the same drum in an interview with Bluenotes, saying he wanted ANZ to be "the best bank in Australia and New Zealand for people wanting to buy and own a home or start and run a small business".While the APRA data shows that Elliott has come up short in retail banking, it appears he is not doing much better realising his other strategic objective of growing the bank's share of domestic business banking.ANZ has eked out some gains in business lending in the last year but it remains the distant fourth-ranked player behind its major banking peers.According to the APRA data, ANZ has expanded lending to non-financial corporations by 7.7 per cent since the start of January 2016.This compares with CBA(up 8.4 per cent), NAB (up 14.3 per cent) and Westpac (up 24 per cent).Unless