<PAGE>
                                 UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                             Washington, D.C. 20549

                                   FORM 10-K

(Mark One)

/X/ ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT
    OF 1934

For the fiscal year ended December 31, 1999

                                       OR

/ / TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
    ACT OF 1934

For the transition period from _______________________ to ______________________

Commission file number 0-18418

              PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND 2, L.P.
------------------------------------------------------------------------------

             (Exact name of registrant as specified in its charter)

Delaware                                        13-3533120
------------------------------------------------------------------------------
(State or other jurisdiction of         (I.R.S. Employer Identification No.)
incorporation or organization)

One New York Plaza, 13th Floor, New York, New York          10292
-----------------------------------------------------------------------------
(Address of principal executive offices)                  (Zip Code)

Registrant's telephone number, including area code (212) 778-7866

Securities registered pursuant to Section 12(b) of the Act:
                                    None
----------------------------------------------------------------------------
Securities registered pursuant to Section 12(g) of the Act:

                     Units of Limited Partnership Interest
---------------------------------------------------------------------------
                               (Title of class)

   Indicate by check mark whether the Registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days. Yes CK  No__

   Indicate by check mark if disclosure of delinquent filers pursuant to Item
405 of Regulation S-K is not contained herein, and will not be contained, to the
best of Registrant's knowledge, in definitive proxy or information statements
incorporated by reference in Part III of this Form 10-K or any amendment to this
Form 10-K. [CK]

                      DOCUMENTS INCORPORATED BY REFERENCE

   Agreement of Limited Partnership of the Registrant, dated June 8, 1989,
included as part of the Registration Statement on Form S-1 (File No. 33-29039)
filed with the Securities and Exchange Commission on June 9, 1989 pursuant to
Rule 424(b) of the Securities Act of 1933, and amended and restated as of July
21, 1989, is incorporated by reference into Part IV of this Annual Report on
Form 10-K

   Registrant's Annual Report to Limited Partners for the year ended December
31, 1999 is incorporated by reference into Parts II and IV of this Annual Report
on Form 10-K

                           Index to exhibits can be found on pages 8 through 10.

<PAGE>
              PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND 2, L.P.
                            (a limited partnership)

                               TABLE OF CONTENTS
<TABLE>
<CAPTION>
PART I                                                                                         PAGE
<S>        <C>                                                                                <C>
Item  1    Business.........................................................................   3
Item  2    Properties.......................................................................   3
Item  3    Legal Proceedings................................................................   3
Item  4    Submission of Matters to a Vote of Limited Partners..............................   3

<CAPTION>
PART II
<S>        <C>                                                                                <C>
Item  5    Market for the Registrant's Units and Related Limited Partner Matters............   4
Item  6    Selected Financial Data..........................................................   4
Item  7    Management's Discussion and Analysis of Financial Condition and Results of
             Operations.....................................................................   4
Item 7A    Quantitative and Qualitative Disclosures About Market Risk.......................   4
Item  8    Financial Statements and Supplementary Data......................................   4
Item  9    Changes in and Disagreements with Accountants on Accounting and Financial
             Disclosure.....................................................................   4

<CAPTION>
PART III
<S>        <C>                                                                                <C>
Item 10    Directors and Executive Officers of the Registrant...............................   5
Item 11    Executive Compensation...........................................................   6
Item 12    Security Ownership of Certain Beneficial Owners and Management...................   6
Item 13    Certain Relationships and Related Transactions...................................   7

<CAPTION>
PART IV
<S>        <C>                                                                                <C>
Item 14    Exhibits, Financial Statement Schedules, and Reports on Form 8-K.................   8
           Financial Statements and Financial Statement Schedules...........................   8
           Exhibits.........................................................................   8
           Reports on Form 8-K..............................................................   10

SIGNATURES..................................................................................   11
</TABLE>

                                       2
<PAGE>
                                     PART I

Item 1. Business

General

   Prudential-Bache Capital Return Futures Fund 2, L.P. (the 'Registrant'), a
Delaware limited partnership, was formed on June 8, 1989 and will terminate on
December 31, 2009 unless terminated sooner under the provisions of the Amended
and Restated Agreement of Limited Partnership (the 'Partnership Agreement'). The
Registrant was formed to engage primarily in the speculative trading of a
portfolio consisting primarily of commodity futures, forward and options
contracts. Physical commodities also may be traded from time to time. On October
6, 1989, the Registrant completed its offering having raised $101,010,000 from
the sale of 1,000,000 units of limited partnership interest and 10,100 units of
general partnership interest (collectively, 'Units') which resulted in net
proceeds to the Registrant of $99,010,000. The Registrant's fiscal year for book
and tax purposes ends on December 31.

   All trading decisions for the Registrant are currently being made by Welton
Investment Corporation, Eclipse Capital Management, Inc., Gaiacorp Ireland
Limited and Trendlogic Associates, Inc., independent commodity trading managers
(collectively, the 'Trading Managers'). The General Partner retains the
authority to override trading instructions that violate the Registrant's trading
policies.

   The Registrant is engaged solely in the business of commodity futures,
forward and options trading; therefore, presentation of industry segment
information is not applicable.

General Partner and its Affiliates

   The general partner of the Registrant is Prudential Securities Futures
Management Inc. (the 'General Partner') which is a wholly owned subsidiary of
Prudential Securities Incorporated ('PSI'), the Registrant's commodity broker.
PSI is a wholly owned subsidiary of Prudential Securities Group Inc. ('PSGI').
The General Partner is required to maintain at least a 1% interest in the
Registrant as long as it is acting as the Registrant's general partner.

Competition

   The General Partner and its affiliates have formed and may continue to form
various entities to engage in the speculative trading of futures, forward and
options contracts which, in part, have certain of the same investment policies
as the Registrant.

   The Registrant is a closed-end fund which does not currently, and does not
intend in the future to, solicit the sale of additional Units. As such, the
Registrant does not compete with other entities to attract new fund
participants. However, to the extent that the Trading Managers recommend similar
or identical trades to the Registrant and the other accounts which they manage,
the Registrant may compete with those accounts for the execution of the same or
similar trades.

Employees

   The Registrant has no employees. Management and administrative services for
the Registrant are performed by the General Partner and its affiliates pursuant
to the Partnership Agreement as further discussed in Notes A, C and D to the
Registrant's annual report to limited partners for the year ended December 31,
1999 ('Registrant's 1999 Annual Report') which is filed as an exhibit hereto.

Item 2. Properties

   The Registrant does not own or lease any property.

Item 3. Legal Proceedings

   There are no material legal proceedings pending by or against the Registrant
or the General Partner.

Item 4. Submission of Matters to a Vote of Limited Partners

   None

                                       3

<PAGE>
                                    PART II

Item 5. Market for the Registrant's Units and Related Limited Partner Matters

   A significant secondary market for the Units has not developed, and it is not
expected that one will develop in the future. There are also certain
restrictions set forth in the Partnership Agreement limiting the ability of a
partner to transfer Units. However, the Partnership Agreement provides that a
limited partner may redeem units as of the last business day of any full
calendar quarter at the then current net asset value per Unit. Consequently,
holders of Units may not be able to liquidate their investments in the event of
an emergency or for any other reason.

   There are no material restrictions upon the Registrant's present or future
ability to make distributions in accordance with the provisions of the
Partnership Agreement. No distributions have been made since inception and no
distributions are anticipated in the future.

   As of March 21, 2000, there were 978 holders of record owning 82,564 Units,
including 826 units of general partnership interest.

Item 6. Selected Financial Data

   The following table presents selected financial data of the Registrant. This
data should be read in conjunction with the financial statements of the
Registrant and the notes thereto on pages 2 through 10 of the Registrant's 1999
Annual Report which is filed as an exhibit hereto.

<TABLE>
<CAPTION>
                                                         Year ended December 31,
                                 ------------------------------------------------------------------------
                                     1999           1998           1997           1996           1995
                                 ------------   ------------   ------------   ------------   ------------
<S>                              <C>            <C>            <C>            <C>            <C>
Total revenue (including
  interest)                      $ 1,490,997    $   654,083    $ 7,625,240    $ 9,760,109    $12,616,571
                                 ------------   ------------   ------------   ------------   ------------
                                 ------------   ------------   ------------   ------------   ------------
Net income (loss)                $(1,077,632)   $(2,564,349)   $ 3,308,428    $ 5,247,292    $ 8,086,514
                                 ------------   ------------   ------------   ------------   ------------
                                 ------------   ------------   ------------   ------------   ------------
Net income (loss) per weighted
  average Unit                   $    (11.57)   $    (22.84)   $     25.75    $     35.04    $     44.84
                                 ------------   ------------   ------------   ------------   ------------
                                 ------------   ------------   ------------   ------------   ------------
Total assets                     $19,954,668    $25,030,894    $32,378,581    $33,622,033    $33,183,388
                                 ------------   ------------   ------------   ------------   ------------
                                 ------------   ------------   ------------   ------------   ------------
Net asset value per Unit         $    227.98    $    240.34    $    259.66    $    233.09    $    195.71
                                 ------------   ------------   ------------   ------------   ------------
                                 ------------   ------------   ------------   ------------   ------------
</TABLE>

Item 7. Management's Discussion and Analysis of Financial Condition and Results
        of Operations

   This information is incorporated by reference to pages 12 through 14 of the
Registrant's 1999 Annual Report which is filed as an exhibit hereto.

Item 7A. Quantitative and Qualitative Disclosures About Market Risk

   Information regarding quantitative and qualitative disclosures about market
risk is not required pursuant to Item 305(e) of Regulation S-K.

Item 8. Financial Statements and Supplementary Data

   The financial statements are incorporated by reference to pages 2 through 10
of the Registrant's 1999 Annual Report which is filed as an exhibit hereto.

   Supplementary data specified by Item 302 of Regulation S-K (selected
quarterly financial data) is not applicable.

Item 9. Changes in and Disagreements with Accountants on Accounting and
        Financial Disclosure

None

                                       4

<PAGE>
                                    PART III

Item 10. Directors and Executive Officers of the Registrant

   There are no directors or executive officers of the Registrant. The
Registrant is managed by the General Partner.

   The General Partner's directors and executive officers and any persons
holding more than 10% of the Registrant's Units ('Ten Percent Owners') are
required to report their initial ownership of such Units and any subsequent
changes in that ownership to the Securities and Exchange Commission on Forms 3,
4, or 5. Such executive officers, directors and Ten Percent Owners are required
by Securities and Exchange Commission regulations to furnish the Registrant with
copies of all Forms 3, 4 and 5 they file. All of these filing requirements were
satisfied on a timely basis. In making these disclosures, the Registrant has
relied solely on written representations of the General Partner's directors and
executive officers or copies of the reports that they have filed with the
Securities and Exchange Commission during and with respect to its most recent
fiscal year.

   The directors and executive officers of Prudential Securities Futures
Management Inc. and their positions with respect to the Registrant are as
follows:

   Name                                      Position
----------------------------    -----------------------------------------
Joseph A. Filicetti             President and Director
Eleanor L. Thomas               Executive Vice President and Director
Barbara J. Brooks               Chief Financial Officer
Steven Carlino                  Vice President and Treasurer
Alan J. Brody                   Director
A. Laurence Norton, Jr.         Director
Guy S. Scarpaci                 Director
Tamara B. Wright                Senior Vice President and Director

   JOSEPH A. FILICETTI, age 37, is the President and a Director of Prudential
Securities Futures Management Inc. He had been a Vice President of Prudential
Securities Futures Management Inc. and Seaport Futures Management, Inc. from
October 1998 to March 1999. In April 1999, Mr. Filicetti was named to his
current positions at Prudential Securities Futures Management Inc. and became an
Executive Vice President and a Director of Seaport Futures Management, Inc. Mr.
Filicetti is also a Vice President of PSI and the Director of Sales and
Marketing for its managed futures department. Prior to joining PSI, Mr.
Filicetti was with Rotella Capital Management as Director of Sales and Marketing
from September 1996 through September 1998, and was with Merrill Lynch as a
market maker trading bonds from July 1992 to August 1996.

   ELEANOR L. THOMAS, age 45, is the Executive Vice President and a Director of
Prudential Securities Futures Management Inc. and is the President and a
Director of Seaport Futures Management, Inc. She is primarily responsible for
origination, asset allocation, and due diligence for the managed futures
department within PSI. She is also a First Vice President of PSI. Prior to
joining PSI in March 1993, she was with MC Baldwin Financial Company from June
1990 through February 1993 and Arthur Anderson & Co. from 1986 through May 1990.
Ms. Thomas is a certified public accountant.

   BARBARA J. BROOKS, age 51, is the Chief Financial Officer of Prudential
Securities Futures Management Inc. She is a Senior Vice President of PSI. She is
also the Chief Financial Officer of Seaport Futures Management, Inc. and serves
in various capacities for other affiliated companies. She has held several
positions within PSI since April 1983. Ms. Brooks is a certified public
accountant.

   STEVEN CARLINO, age 36, is a Vice President and Treasurer of Prudential
Securities Futures Management Inc. He is a First Vice President of PSI. He is
also a Vice President and Treasurer of Seaport Futures Management, Inc. and
serves in various capacities for other affiliated companies. Prior to joining
PSI in October 1992, he was with Ernst & Young for six years. Mr. Carlino is a
certified public accountant.

                                       5

<PAGE>
   ALAN J. BRODY, age 48, is a Director of Prudential Securities Futures
Management Inc. and Seaport Futures Management, Inc. Mr. Brody has been a Senior
Vice President and Director of International Sales and Marketing for PSI since
1996. Based in London, Mr. Brody is currently responsible for the marketing and
sales of all PSI products and services to international clientele throughout the
firm's global branch system. Additionally, Mr. Brody has overall responsibility
for the managed futures department within PSI. Prior to joining PSI, Mr. Brody
was an Executive Director and Senior Vice President with Lehman Brothers'
Financial Services Division in London and President of Lehman Brothers Futures
Asset Management Corp. from 1990 to 1996. Prior to joining Lehman Brothers, Mr.
Brody served as President and Chief Executive Officer of Commodity Exchange,
Inc. from 1980 to 1989. Earlier in his career, Mr. Brody was associated with the
law firm of Baer Marks & Upham from 1977 to 1980.

   A. LAURENCE NORTON, JR., age 61, is a Director of Prudential Securities
Futures Management Inc. He is an Executive Vice President of PSI and, since
March 1994, has been the director of the International and Futures Divisions of
PSI. He is also a Director of Seaport Futures Management, Inc. and is a member
of PSI's Operating Committee. From October 1991 to March 1994, he held the
position of Executive Director of Retail Development and Retail Strategies at
PSI. Prior to joining PSI in 1991, Mr. Norton was a Senior Vice President and
Branch Manager of Shearson Lehman Brothers.

   GUY S. SCARPACI, age 53, is a Director of Prudential Securities Futures
Management Inc. He is a First Vice President of the Futures Division of PSI. He
is also a Director of Seaport Futures Management, Inc. Mr. Scarpaci has been
employed by PSI in positions of increasing responsibility since August 1974.

   TAMARA B. WRIGHT, age 41, is a Director and a Senior Vice President of
Prudential Securities Futures Management Inc. She is a Senior Vice President and
Chief Administrative Officer for the International and Futures Divisions of PSI.
She is also a Director and a Senior Vice President of Seaport Futures
Management, Inc. and serves in various capacities for other affiliated
companies. Prior to joining PSI in July 1988, she was a manager with Price
Waterhouse.

   Effective April 1999, Eleanor L. Thomas and Joseph A. Filicetti were elected
as directors of both Prudential Securities Futures Management Inc. and Seaport
Futures Management, Inc. In addition, Mr. Filicetti was elected as President of
Prudential Securities Futures Management Inc. replacing Thomas M. Lane, Jr. and
Ms. Thomas was elected as the Executive Vice President of Prudential Securities
Futures Management Inc. Additionally, Alan J. Brody was elected as a Director of
Prudential Securities Futures Management Inc. and Seaport Futures Management,
Inc. during May 1999.

   There are no family relationships among any of the foregoing directors or
executive officers. All of the foregoing directors and/or executive officers
have indefinite terms.

Item 11. Executive Compensation

   The Registrant does not pay or accrue any fees, salaries or any other form of
compensation to directors and officers of the General Partner for their
services. Certain directors and officers of the General Partner receive
compensation from affiliates of the General Partner, not from the Registrant,
for services performed for various affiliated entities, which may include
services performed for the Registrant; however, the General Partner believes
that any compensation attributable to services performed for the Registrant is
immaterial. (See also Item 13, Certain Relationships and Related Transactions,
for information regarding compensation to the General Partner.)

Item 12. Security Ownership of Certain Beneficial Owners and Management

   As of March 21, 2000, no director or officer of the General Partner owns
directly or beneficially any interest in the voting securities of the General
Partner.

   As of March 21, 2000, no director or officer of the General Partner owns
directly or beneficially any of the Units issued by the Registrant.

   As of March 21, 2000, no partner beneficially owns more than five percent
(5%) of the limited partnership units issued by the Registrant.

                                       6

<PAGE>
Item 13. Certain Relationships and Related Transactions

   The Registrant has and will continue to have certain relationships with the
General Partner and its affiliates. However, there have been no direct financial
transactions between the Registrant and the directors or officers of the General
Partner.

   Reference is made to Notes A, C and D to the financial statements in the
Registrant's 1999 Annual Report which is filed as an exhibit hereto, which
identify the related parties and discuss the services provided by these parties
and the amounts paid or payable for their services.

                                       7

<PAGE>
                                    PART IV

Item 14. Exhibits, Financial Statement Schedules, and Reports on Form 8-K

<TABLE>
<CAPTION>
                                                                                             Page in
                                                                                          Annual Report
<C>    <S>                                                                                <C>
(a)    1.     Financial Statements and Report of Independent Accountants--incorporated
              by reference to the Registrant's 1999 Annual Report which is filed as an
              exhibit hereto

              Report of Independent Accountants                                                 2

              Financial Statements:

              Statements of Financial Condition--December 31, 1999 and 1998                     3

              Statements of Operations--Three years ended December 31, 1999                     4

              Statements of Changes in Partners' Capital--Three years ended December
              31, 1999                                                                          4

              Notes to Financial Statements                                                     5

       2.     Financial Statement Schedules

              All schedules have been omitted because they are not applicable or the
              required information is included in the financial statements or notes
              thereto.

       3.     Exhibits

              Description:

       3.1    Agreement of Limited Partnership of the Registrant, dated as of June 8,
       and    1989 as amended and restated as of July 21, 1989 (incorporated by
       4.1    reference to Exhibits 3.1 and 4.1 to the Registrant's Annual Report on
              Form 10-K for the period ended December 31, 1989)

       4.2    Subscription Agreement (incorporated by reference to Exhibit 4.2 to the
              Registrant's Registration Statement on Form S-1, File No. 33-29039)

       4.3    Request for Redemption (incorporated by reference to Exhibit 4.3 to the
              Registrant's Registration Statement on Form S-1, File No. 33-29039)

       10.1   Escrow Agreement, dated July 21, 1989 among the Registrant, Prudential
              Securities Futures Management Inc. (formerly known as P-B Futures
              Management, Inc.), Prudential Securities Incorporated (formerly known as
              Prudential-Bache Securities Inc.) and Bankers Trust Company
              (incorporated by reference to Exhibit 10.1 to the Registrant's Annual
              Report on Form 10-K for the period ended December 31, 1989)

       10.2   Brokerage Agreement dated October 6, 1989 between the Registrant and
              Prudential Securities Incorporated (formerly known as Prudential-Bache
              Securities Inc.) (incorporated by reference to Exhibit 10.2 to the
              Registrant's Annual Report on Form 10-K for the period ended December
              31, 1989)

       10.3   Advisory Agreement dated July 21, 1989 among the Registrant, Prudential
              Securities Futures Management Inc. (formerly known as P-B Futures
              Management, Inc.), Eclipse Capital Management, Inc., C.M. Wilson &
              Associates, Inc. and John W. Henry & Company, Inc. (incorporated by
              reference to Exhibit 10.3 to the Registrant's Annual Report on Form 10-K
              for the period ended December 31, 1989)
</TABLE>

                                       8

<PAGE>
<TABLE>
<CAPTION>
<C>    <S>                                                                                <C>
       10.4   Representation Agreement Concerning the Registration Statement and the
              Prospectus, dated as of July 21, 1989 among the Registrant, Prudential
              Securities Futures Management Inc. (formerly known as P-B Futures
              Management, Inc.), Prudential Securities Incorporated (formerly known as
              Prudential-Bache Securities Inc.), Eclipse Capital Management, Inc.,
              C.M. Wilson & Associates, Inc. and John W. Henry & Company, Inc.
              (incorporated by reference to Exhibit 10.4 to the Registrant's Annual
              Report on Form 10-K for the period ended December 31, 1989)

       10.5   Net Worth Agreement, dated as of July 21, 1989 between Prudential
              Securities Futures Management Inc. (formerly known as P-B Futures
              Management, Inc.) and Prudential Securities Group Inc. (incorporated by
              reference to Exhibit 10.5 to the Registrant's Annual Report on Form 10-K
              for the period ended December 31, 1989)

       10.6   Promissory Note issued by Prudential Securities Group Inc. to Prudential
              Securities Futures Management Inc. (formerly known as P-B Futures
              Management, Inc.), dated October 6, 1989 (incorporated by reference to
              Exhibit 10.6 to the Registrant's Annual Report on Form 10-K for the
              period ended December 31, 1989)

       10.10  Addendum to Advisory Agreement dated October 1, 1990 among the
              Registrant, Prudential Securities Futures Management Inc. (formerly
              known as P-B Futures Management, Inc.), Eclipse Capital Management, Inc.
              and John W. Henry & Co., Inc. (incorporated by reference to Exhibit
              10.10 to the Registrant's Annual Report on Form 10-K for the year ended
              December 31, 1991)

       10.11  Advisory Agreement dated May 1, 1994 among the Registrant, Prudential
              Securities Futures Management, Inc. and Welton Investment Corporation
              (formerly known as Welton Investment Services Corporation) (incorporated
              by reference to Exhibit 10.11 to the Registrant's Annual Report on Form
              10-K for the year ended December 31, 1994)

       10.12  Advisory Agreement dated January 1, 1995 among the Registrant,
              Prudential Securities Futures Management Inc. and Analytic/TSA Capital
              Management (incorporated by reference to Exhibit 10.12 to the
              Registrant's Annual Report on Form 10-K for the year ended December 31,
              1994)

       10.13  Addendum to Brokerage Agreement dated January 1, 1995 among the Regis-
              trant, Prudential Securities Futures Management Inc. and Prudential
              Securities Incorporated (incorporated by reference to Exhibit 10.13 to
              the Registrant's Quarterly Report on Form 10-Q for the period ended June
              30, 1995)

       10.14  Form of Foreign Currency Addendum to Brokerage Agreement between the
              Registrant and Prudential Securities Incorporated (incorporated by
              reference to Exhibit 10.13 to the Registrant's Quarterly Report on Form
              10-Q for the period ended March 31, 1996)

       10.15  Advisory Agreement, dated July 1, 1997, among the Registrant, Prudential
              Securities Futures Management Inc. and Eclipse Capital Management, Inc.
              (incorporated by reference to Exhibit 10.15 to Registrant's Quarterly
              Report on Form 10-Q for the period ended June 30, 1997)

       10.16  Advisory Agreement, dated September 1, 1998, among the Registrant,
              Prudential Securities Futures Management Inc. and Trendlogic Associates,
              Inc. (incorporated by reference to Exhibit 10.16 to Registrant's
              Quarterly Report on Form 10-Q for the period ended September 30, 1998)
</TABLE>

                                       9
<PAGE>
<TABLE>
<CAPTION>
<C>    <S>                                                                                <C>
       10.17  Advisory Agreement, dated September 1, 1998, among the Registrant,
              Prudential Securities Futures Management Inc. and Gaiacorp Ireland
              Limited (incorporated by reference to Exhibit 10.17 to Registrant's
              Quarterly Report on Form 10-Q for the period ended September 30, 1998)

       10.18  Amendment to Advisory Agreement, dated September 1, 1998, among the Reg-
              istrant, Prudential Securities Futures Management Inc. and Welton
              Investment Corporation (incorporated by reference to Exhibit 10.18 to
              Registrant's Quarterly Report on Form 10-Q for the period ended
              September 30, 1998)

       13.1   Registrant's 1999 Annual Report (with the exception of the information
              and data incorporated by reference in Items 7 and 8 of this Annual
              Report on Form 10-K, no other information or data appearing in the
              Registrant's 1999 Annual Report is to be deemed filed as part of this
              report) (filed herewith)

       27.1   Financial Data Schedule (filed herewith)

(b)           Reports on Form 8-K

              No reports on Form 8-K were filed during the last quarter of the period
              covered by this report
</TABLE>
                                       10
<PAGE>
                                   SIGNATURES

      Pursuant to the requirements of Section 13 or 15(d) of the Securities
Exchange Act of 1934, the Registrant has duly caused this report to be signed on
its behalf by the undersigned thereunto duly authorized.

Prudential-Bache Capital Return Futures Fund 2, L.P.

By: Prudential Securities Futures Management Inc.
    A Delaware corporation, General Partner

     By: /s/ Steven Carlino                       Date: March 30, 2000
     ----------------------------------------
     Steven Carlino
     Vice President and Treasurer

   Pursuant to the requirements of the Securities Exchange Act of 1934, this
report has been signed below by the following persons on behalf of the
Registrant and in the capacities (with respect to the General Partner) and on
the dates indicated.

By: Prudential Securities Futures Management Inc.
    A Delaware corporation, General Partner

    By: /s/ Joseph A. Filicetti                   Date: March 30, 2000
    -----------------------------------------
    Joseph A. Filicetti
    President and Director

    By: /s/ Eleanor L. Thomas                     Date: March 30, 2000
    -----------------------------------------
    Eleanor L. Thomas
    Executive Vice President and Director

    By: /s/ Barbara J. Brooks                     Date: March 30, 2000
    -----------------------------------------
    Barbara J. Brooks
    Chief Financial Officer

    By: /s/ Steven Carlino                        Date: March 30, 2000
    -----------------------------------------
    Steven Carlino
    Vice President and Treasurer

    By: /s/ Alan J. Brody                         Date: March 30, 2000
    -----------------------------------------
    Alan J. Brody
    Director

    By:                                           Date:
    -----------------------------------------
    A. Laurence Norton, Jr.
    Director

    By: /s/ Guy S. Scarpaci                       Date: March 30, 2000
    -----------------------------------------
    Guy S. Scarpaci
    Director

    By:                                           Date:
    -----------------------------------------
    Tamara B. Wright
    Senior Vice President and Director

                                       11