The aggregate spread differential between the market yield on agency MBS and the benchmark interest rates underlying our interest rate hedges widened modestly during the first quarter and was the primary driver of the 2.2% decline in our NAV per common share during the quarter to $22.09 as of March 31, 2016. Our NAV per common share improved slightly during the second quarter due to modest tightening of this spread, resulting in a 0.6% increase in our NAV per common share to $22.22 as of June 30, 2016. Taking into account quarterly dividends of $0.60 per common share, our economic returns were 0.4% and 3.3% for the first and second quarters, respectively.
The average projected CPR on our portfolio increased to 10.8% as of June 30, 2016, from 10.2% as of March 31, 2016 and 8.4% as of December 31, 2015, as prepayment expectations increased consistent with the decline in long-term interest rates. Although prepayment risk is elevated following the significant decline in rates, we do not presently expect a major increase in mortgage refinance activity comparable to 2012 due to a number of factors, including a reduced benefit of refinancing to borrowers relative to 2012 and borrower refinance "burnout," which refers to mortgage borrowers' declining likelihood of refinancing mortgages with continued availability of similar rate incentives. Nevertheless, given the current environment of elevated prepayment risk, careful asset selection will likely be an important determinant of actual prepayment speeds. As such, during the second quarter we increased our concentration in securities backed by loans with favorable prepayment characteristics and positioned our TBA securities in lower coupon holdings, which provide better protection against prepayments. As of June 30, 2016, 68% of our fixed-rate securities, excluding our net TBA position, consisted of securities backed by loans with favorable prepayment characteristics, which we categorize as lower loan balance mortgages with original loan balances of up to $150,000 and loans originated under the U.S. Government sponsored Home Affordable Refinance Program ("HARP") backed by 100% refinance loans with original loan-to-values of ≥ 80%. This compares to 62% and 63% of our fixed-rate securities, excluding our net TBA position, as of March 31, 2016 and December 31, 2015, respectively.
Given our view that rates in the U.S. will remain relatively range bound, during the first two quarters of the year, we adjusted the composition of our hedge portfolio and lowered our hedge ratio to 79% of our funding liabilities and net TBA position as of June 30, 2016, compared to 83% and 87% as of March 31, 2016 and December 31, 2015, respectively. Our net "duration gap," which is a measure of the risk due to mismatches that can occur between our assets and liabilities, inclusive of hedges, caused by an instantaneous parallel shift in interest rates, also declined from 0.8 years as of December 31, 2015 to a net duration gap of zero as of the end of the first and second quarters. Coupled with attractive investment opportunities in agency MBS, we also chose to increase our "at risk" leverage to an average of 7.2x during the first two quarters, compared to 6.8x as of December 31, 2015 and a low of 6.1x as of June 30, 2015.
For the estimated impact of changes in interests rates and mortgage spreads on our net book value please refer to "Quantitative and Qualitative Disclosures about Market Risk" under Item 3 of this Quarterly Report on Form 10-Q.