<Page>
                                                           2001
--------------------------------------------------------------------------------
Prudential-Bache
Capital Return Futures                                     Annual
Fund 2, L.P.                                               Report

<Page>
                         LETTER TO LIMITED PARTNERS FOR
              PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND 2, L.P.

                                       1

<Page>

PricewaterhouseCoopers LLP (LOGO)

                                                   PricewaterhouseCoopers LLP
                                                   1177 Avenue of the Americas
                                                   New York, NY 10036
                                                   Telephone (646) 471-4000
                                                   Facsimile  (646) 471-4100

                       Report of Independent Accountants

To the General Partner and
Limited Partners of
Prudential-Bache Capital Return Futures Fund 2, L.P.

In our opinion, the accompanying statements of financial condition, including
the condensed schedule of investments, and the related statements of operations
and changes in partners' capital present fairly, in all material respects, the
financial position of Prudential-Bache Capital Return Futures Fund 2, L.P. at
December 31, 2001 and 2000, and the results of its operations and changes in
partners' capital for each of the three years in the period ended December 31,
2001 in conformity with accounting principles generally accepted in the United
States of America. These financial statements are the responsibility of the
General Partner; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these statements in
accordance with auditing standards generally accepted in the United States of
America, which require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by the General
Partner, and evaluating the overall financial statement presentation. We believe
that our audits provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

January 25, 2002

                                       2

<Page>

              PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND 2, L.P.
                            (a limited partnership)
                       STATEMENTS OF FINANCIAL CONDITION
<Table>
<Caption>
                                                                               December 31,
                                                                        --------------------------
                                                                           2001           2000
--------------------------------------------------------------------------------------------------
<S>                                                                     <C>            <C>
ASSETS
Cash                                                                    $ 2,795,861    $ 2,989,531
U.S. Treasury bills, at amortized cost (pledged at broker)                8,823,944      9,890,040
Net unrealized gain on open futures and options contracts                     1,846      1,179,039
Net unrealized gain on open forward contracts                               397,094        265,456
                                                                        -----------    -----------
Total assets                                                            $12,018,745    $14,324,066
                                                                        -----------    -----------
                                                                        -----------    -----------
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable                                                     $   282,164    $   473,514
Due to affiliates                                                            73,246         74,303
Accrued expenses payable                                                     61,128         57,254
Management fees payable                                                      19,807         24,772
Premiums received on options                                                     --          7,506
                                                                        -----------    -----------
Total liabilities                                                           436,345        637,349
                                                                        -----------    -----------
Commitments
Partners' capital
Limited partners (54,576 and 60,808 units outstanding)                   11,466,420     13,549,677
General partner (552 and 615 units outstanding)                             115,980        137,040
                                                                        -----------    -----------
Total partners' capital                                                  11,582,400     13,686,717
                                                                        -----------    -----------
Total liabilities and partners' capital                                 $12,018,745    $14,324,066
                                                                        -----------    -----------
                                                                        -----------    -----------
Net asset value per limited and general partnership unit ('Units')      $    210.10    $    222.83
                                                                        -----------    -----------
                                                                        -----------    -----------
--------------------------------------------------------------------------------------------------
         The accompanying notes are an integral part of these statements.
</Table>

                                       3

<Page>

              PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND 2, L.P.
                            (a limited partnership)
                       Condensed Schedule of Investments
                              At December 31, 2001

<Table>
<Caption>
                                                                       Amortized Cost
                                                                         as a % of           Amortized
Face Amount            Investments in U.S. Treasury Bills            Partners' Capital         Cost
-------------------------------------------------------------------------------------------------------
<C>              <S>                                                 <C>                     <C>
$  8,825,000     U.S. Treasury bills--mature January 3, 2002                76.18%           $8,823,944
                                                                          -------            ----------
                                                                          -------            ----------
</Table>
<Table>
<Caption>
                                                                      Net Unrealized
                                                                       Gain (Loss)
                                                                        as a % of
                                                                        Partners'       Net Unrealized
Futures and Forward Contracts                                            Capital         Gain (Loss)
------------------------------------------------------------------------------------------------------
<S>                                                                   <C>               <C>
Futures contracts purchased:
  Interest rates                                                                          $   (6,129)
  Stock indices                                                                                3,558
  Currencies                                                                                  14,357
  Commodities                                                                               (203,046)
                                                                                        --------------
     Net unrealized loss on futures contracts purchased                    (1.65)%          (191,260)
                                                                                        --------------
Futures contracts sold:
  Interest rates                                                                               1,839
  Stock indices                                                                               (3,403)
  Currencies                                                                                 197,120
  Commodities                                                                                 (2,450)
                                                                                        --------------
     Net unrealized gain on futures contracts sold                          1.67             193,106
                                                                          ------        --------------
     Net unrealized gain on futures contracts                               0.02%         $    1,846
                                                                          ------        --------------
                                                                          ------        --------------
Forward contracts:
  Forward contracts purchased                                               3.67%         $  424,606
  Forward contracts sold                                                   (0.24)            (27,512)
                                                                          ------        --------------
     Net unrealized gain on forward contracts                               3.43%         $  397,094
                                                                          ------        --------------
                                                                          ------        --------------
Settlement Currency--Futures Contracts
  British pound                                                            (0.13)%        $  (14,857)
  Euro                                                                     (0.13)            (15,239)
  Japanese yen                                                              0.04               4,709
  Australian dollar                                                         0.08               9,222
  U.S. dollar                                                               0.16              18,011
                                                                          ------        --------------
     Total                                                                  0.02%         $    1,846
                                                                          ------        --------------
                                                                          ------        --------------
Settlement Currency--Forward Contracts
  British pound                                                             0.03%         $    3,770
  Canadian dollar                                                          (0.32)            (37,154)
  Japanese yen                                                              3.75             434,684
  Swiss francs                                                             (0.02)             (2,779)
  U.S. dollar                                                              (0.01)             (1,427)
                                                                          ------        --------------
     Total                                                                  3.43%         $  397,094
                                                                          ------        --------------
                                                                          ------        --------------
------------------------------------------------------------------------------------------------------
         The accompanying notes are an integral part of these statements.
</Table>

                                       4

<Page>
              PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND 2, L.P.
                            (a limited partnership)
                            STATEMENTS OF OPERATIONS

<Table>
<Caption>
                                                                   Year ended December 31,
                                                    -----------------------------------------------------
                                                         2001               2000               1999
---------------------------------------------------------------------------------------------------------
<S>                                                 <C>                <C>                <C>
REVENUES
Net realized gain (loss) on commodity
  transactions                                        $ 1,371,855        $  (623,699)       $   800,974
Change in net unrealized gain/loss on open
  commodity positions                                  (1,045,555)           922,049            (73,845)
Interest from U.S. Treasury bills                         362,772            640,450            763,868
                                                    ---------------    ---------------    ---------------
                                                          689,072            938,800          1,490,997
                                                    ---------------    ---------------    ---------------
EXPENSES
Commissions                                               985,803          1,201,445          1,766,009
Management fees                                           250,468            315,641            467,596
Incentive fees                                             60,570                 --            180,115
General and administrative                                128,750            134,148            154,909
                                                    ---------------    ---------------    ---------------
                                                        1,425,591          1,651,234          2,568,629
                                                    ---------------    ---------------    ---------------
Net loss                                              $  (736,519)       $  (712,434)       $(1,077,632)
                                                    ---------------    ---------------    ---------------
                                                    ---------------    ---------------    ---------------
ALLOCATION OF NET LOSS
Limited partners                                      $  (729,150)       $  (705,313)       $(1,066,852)
                                                    ---------------    ---------------    ---------------
                                                    ---------------    ---------------    ---------------
General partner                                            (7,369)       $    (7,121)       $   (10,780)
                                                    ---------------    ---------------    ---------------
                                                    ---------------    ---------------    ---------------
NET LOSS PER WEIGHTED AVERAGE
LIMITED AND GENERAL PARTNERSHIP UNIT
Net loss per weighted average
  limited and general partnership unit                $    (12.56)       $     (9.95)       $    (11.57)
                                                    ---------------    ---------------    ---------------
                                                    ---------------    ---------------    ---------------
Weighted average number of limited and
  general partnership units outstanding                    58,649             71,580             93,100
                                                    ---------------    ---------------    ---------------
                                                    ---------------    ---------------    ---------------
---------------------------------------------------------------------------------------------------------
</Table>

                   STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
<Table>
<Caption>
                                                            LIMITED         GENERAL
                                               UNITS       PARTNERS         PARTNER          TOTAL
-----------------------------------------------------------------------------------------------------
<S>                                           <C>         <C>             <C>             <C>
Partners' capital--December 31, 1998            99,989    $23,791,274     $   240,344     $24,031,618
Net loss                                                   (1,066,852)        (10,780)     (1,077,632)
Redemptions                                   (17,425)     (4,089,680)        (41,249)     (4,130,929)
                                              --------    -----------     -----------     -----------
Partners' capital--December 31, 1999            82,564     18,634,742         188,315      18,823,057
Net loss                                                     (705,313)         (7,121)       (712,434)
Redemptions                                   (21,141)     (4,379,752)        (44,154)     (4,423,906)
                                              --------    -----------     -----------     -----------
Partners' capital--December 31, 2000            61,423     13,549,677         137,040      13,686,717
Net loss                                                     (729,150)         (7,369)       (736,519)
Redemptions                                    (6,295)     (1,354,107)        (13,691)     (1,367,798)
                                              --------    -----------     -----------     -----------
Partners' capital--December 31, 2001            55,128    $11,466,420     $   115,980     $11,582,400
                                              --------    -----------     -----------     -----------
                                              --------    -----------     -----------     -----------
-----------------------------------------------------------------------------------------------------
         The accompanying notes are an integral part of these statements.
</Table>

                                       5

<Page>

              PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND 2, L.P.
                            (a limited partnership)
                         NOTES TO FINANCIAL STATEMENTS

A. General

   Prudential-Bache Capital Return Futures Fund 2, L.P. (the 'Partnership') is a
Delaware limited partnership formed on June 8, 1989 which will terminate on
December 31, 2009 unless terminated sooner under the provisions of its Amended
and Restated Agreement of Limited Partnership (the 'Partnership Agreement'). On
October 6, 1989, the Partnership 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') and
commenced operations. The Partnership was formed to engage in the speculative
trading of commodity futures, forward and options contracts. Physical
commodities may also be traded from time to time. The general partner of the
Partnership is Prudential Securities Futures Management Inc. (the 'General
Partner'), a wholly owned subsidiary of Prudential Securities Incorporated
('PSI') which, in turn, is an indirect wholly owned subsidiary of Prudential
Financial, Inc. PSI was the principal underwriter of the Units and is the
commodity broker. The General Partner is required to maintain at least a 1%
interest in the Partnership as long as it is acting as the Partnership's general
partner.

   The General Partner generally maintains not less than 75% of the
Partnership's net asset value in interest-bearing U.S. Government obligations
(primarily U.S. Treasury bills), a significant portion of which is utilized for
margin purposes for the Partnership's commodity trading activities. The
remaining 25% of net asset value is held in cash in the Partnership's commodity
trading accounts.

   All trading decisions for the Partnership are currently being made by Eclipse
Capital Management, Inc. ('Eclipse'), Appleton Capital Management ('Appleton')
and Trendlogic Associates, Inc. ('Trendlogic'), independent commodity trading
managers (collectively, the 'Trading Managers'). Welton Investment Corporation
('Welton'), a trading manager to the Partnership, was terminated effective May
31, 2001 due to performance not meeting expectations relative to its peers. The
assets previously managed by Welton (the 'Welton Assets'), which totalled
approximately $2,189,000 as of June 30, 2001, were reallocated to commodities
trading on July 8, 2001. The Welton Assets earned interest but were not subject
to management fees or commissions during the period that the assets were not
allocated to trading. During July 2001, the Partnership entered into agreements
to reallocate the Welton Assets evenly between Appleton and Eclipse. Appleton
and Eclipse receive monthly management fees on their portion of the reallocated
assets equal to 1/6 of 1% (2% annually) as compared to management fees paid to
Welton ranging between 1/6 of 1% (2% annually) and 1/3 of 1% (4% annually).
Appleton and Eclipse earn a quarterly incentive fee equal to 20% of the 'New
High Net Trading Profits' (as defined in each advisory agreement among the
Partnership, the General Partner and each trading manager) as compared to the
range of 15% to 20% for Welton. Additionally, Appleton must recoup 100% (or
$964,000) of Welton's cumulative trading losses associated with its portion of
the reallocated assets and Eclipse must recoup only 50% (or $482,000) of its
portion, before earning any incentive fees. The General Partner retains the
authority to override trading instructions that violate the Partnership's
trading policies.

   In accordance with the Partnership Agreement, if the Partnership's net asset
value declines below $10 million as of the end of any business day, the
Partnership will dissolve. There can be no assurance that trading performance
and/or redemptions subsequent to December 31, 2001 will not cause the
Partnership's net asset value to fall below $10 million.

B. Summary of Significant Accounting Policies

Basis of accounting

   The financial statements of the Partnership are prepared in accordance with
accounting principles generally accepted in the United States of America.

   The preparation of financial statements in conformity with accounting
principles generally accepted in the United States requires the General Partner
to make estimates and assumptions that affect the reported amounts of
liabilities at the date of the financial statements and the reported amounts of
expenses during the reporting period. Actual results could differ from those
estimates.

                                       6

<Page>

   Commodity futures and forward transactions are reflected in the accompanying
statements of financial condition on trade date. The difference between the
original contract amount and market value of futures and forward contracts is
reflected as net unrealized gain or loss. Options transactions are reflected in
the statements of financial condition at market value which is inclusive of the
net unrealized gain or loss. The market value of each contract is based upon the
closing quotation on the exchange, clearing firm or bank on, or through, which
the contract is traded.

   To the extent practicable, the Partnership invests a significant portion of
its net asset value in U.S. Treasury bills which are often used to fulfill
margin requirements. U.S. Treasury bills are recorded in the financial
statements on a trade date basis and are carried at amortized cost, which
approximates market value. Interest on these obligations accrues for the benefit
of the Partnership.

   The weighted average number of limited and general partnership units
outstanding was computed for purposes of disclosing net income (loss) per
weighted average limited and general partnership unit. The weighted average
limited and general partnership units are equal to the number of Units
outstanding at year end, adjusted proportionately for Units redeemed based on
their respective time outstanding during such year.

   The Partnership has elected not to provide a Statement of Cash Flows as
permitted by Statement of Financial Accounting Standards No. 102, 'Statement of
Cash Flows--Exemption of Certain Enterprises and Classification of Cash Flows
from Certain Securities Acquired for Resale.'

   Certain balances from the prior period have been reclassified to conform with
the current financial statement presentation.

Income taxes

   The Partnership is not required to provide for, or pay, any Federal or state
income taxes. Income tax attributes that arise from the Partnership's operations
are passed directly to the individual partners. The Partnership may be subject
to other state and local taxes in jurisdictions in which it operates.

Profit and loss allocations, distributions and redemptions

   Net income or loss for tax purposes shall generally be allocated first to
partners who redeem Units to the extent the redeemed amount is greater than or
less than those partners' tax capital accounts at the beginning of the year. Net
income or loss remaining after these allocations are allocated to each partner
in proportion to such partner's tax capital account at year-end. Net income or
loss for financial reporting purposes is allocated quarterly to all partners on
a pro rata basis based on each partner's number of Units outstanding during the
quarter.

   Distributions (other than on redemptions of Units) are made at the sole
discretion of the General Partner on a pro rata basis in accordance with the
respective capital accounts of the partners. No distributions have been made
since inception.

   The Partnership Agreement provides that a partner may redeem its Units as of
the last business day of any calendar quarter at the then current net asset
value per Unit.

Financial Reporting by Commodity Pools

   During March 2001, the Accounting Standards Executive Committee ('AcSEC')
issued Statement of Position ('SOP') 01-1, Amendment to Scope of Statement of
Position 95-2, Financial Reporting by Nonpublic Investment Partnerships, to
Include Commodity Pools, which is effective for financial statements issued for
periods ending after December 15, 2001. This SOP amends SOP 95-2, Financial
Reporting by Nonpublic Investment Partnerships, to include within its scope
commodity pools such as this Partnership. Under the new requirements, the
Partnership is required to present a condensed schedule of investments and
certain other information in accordance with the American Institute of Certified
Public Accountants' Audit and Accounting Guide 'Audits of Investment Companies.'
The adoption of the requirements of
SOP 01-1 has not had a material effect on the Partnership's financial position
or results of operations.

                                       7

<Page>

C. Costs, Fees and Expenses

Commissions

   The General Partner, on behalf of the Partnership, entered into an agreement
with PSI to act as commodity broker for the Partnership. The Partnership pays
PSI commissions at a flat rate of .6666% per month (8% annually) of the
Partnership's net asset value as of the first day of each month.

Management and incentive fees

   The Partnership pays Eclipse, Appleton, and Trendlogic monthly management
fees equal to 1/6 of 1% (2% annually) of the portion of the Partnership's net
asset value allocated to each of these Trading Managers as of the end of each
month. The Partnership paid Welton monthly management fees ranging from 1/6 of
1% (2% annually) to 1/3 of 1% (4% annually) of its allocated portion of the
Partnership's net asset value as of the end of each month until its termination,
which was effective May 31, 2001.

   In addition, the Partnership pays Eclipse and Appleton a quarterly incentive
fee equal to 20% and Trendlogic 17.5% of the 'New High Net Trading Profits' (as
defined in each Advisory Agreement among the Partnership, the General Partner
and each Trading Manager).

   See Note A for further information concerning changes in Trading Managers
which has resulted in rate changes to management fees and incentive fees since
the changes took effect during July 2001.

General and administrative expenses

   In addition to the costs, fees and expenses previously discussed, the
Partnership reimburses the General Partner and its affiliates for actual
Partnership operating expenses payable by, or allocable to, the Partnership. The
nature of reimbursed expenses from the Partnership is limited by the provisions
of the Partnership Agreement. The Partnership also pays amounts directly to
unrelated parties for certain operating expenses.

D. Related Parties

   The General Partner and its affiliates perform services for the Partnership
which include, but are not limited to: brokerage services; accounting and
financial management; registrar, transfer and assignment functions; investor
communications, printing and other administrative services.

   The costs incurred for these services for the three years ended December 31,
2001 were:

<Table>
<Caption>
                                            2001           2000           1999
                                         ----------     ----------     ----------
<S>                                      <C>            <C>            <C>
Commissions                              $  985,803     $1,201,445     $1,766,009
General and administrative                   61,255         70,441         68,070
                                         ----------     ----------     ----------
                                         $1,047,058     $1,271,886     $1,834,079
                                         ----------     ----------     ----------
                                         ----------     ----------     ----------
</Table>

   The Partnership's assets are maintained either in trading or cash accounts
with PSI, or, the Partnership's commodity broker, for margin purposes, with the
various exchanges on which the Partnership is permitted to trade.

   The Partnership, acting through its Trading Managers, may execute
over-the-counter, spot, forward and/or option foreign exchange transactions with
PSI. PSI then engages in back-to-back trading with an affiliate,
Prudential-Bache Global Markets Inc. ('PBGM'). PBGM attempts to earn a profit on
such transactions. PBGM keeps its prices on foreign currency competitive with
other interbank currency trading desks. All over-the-counter currency
transactions are conducted between PSI and the Partnership pursuant to a line of
credit. PSI may require that collateral be posted against the marked-to-market
positions of the Partnership.

                                       8

<Page>

E. Income Taxes

   The following is a reconciliation of net loss for financial reporting
purposes to net loss for tax reporting purposes for the three years ended
December 31, 2001:

<Table>
<Caption>
                                                    2001           2000            1999
                                                  ---------     -----------     -----------
<S>                                               <C>           <C>             <C>
Net loss for financial reporting purposes         $(736,519)    $  (712,434)    $(1,077,632)
Change in unrealized (gain) loss on
  nonregulated commodity positions                  189,358         220,221        (336,198)
                                                  ---------     -----------     -----------
Tax basis net loss                                $(547,161)    $  (492,213)    $(1,413,830)
                                                  ---------     -----------     -----------
                                                  ---------     -----------     -----------
</Table>

   The differences between the tax and book bases of partners' capital are
primarily attributable to the cumulative effect of the book to tax income
adjustments.

F. Derivative Instruments and Associated Risks

   The Partnership is exposed to various types of risk associated with the
derivative instruments and related markets in which it invests. These risks
include, but are not limited to, risk of loss from fluctuations in the value of
derivative instruments held (market risk) and the inability of counterparties to
perform under the terms of the Partnership's investment activities (credit
risk).

Market risk

   Trading in futures and forward contracts (including foreign exchange
transactions) involves entering into contractual commitments to purchase or sell
a particular commodity at a specified date and price. The gross or face amount
of the contracts, which is typically many times that of the Partnership's net
assets being traded, significantly exceeds the Partnership's future cash
requirements since the Partnership intends to close out its open positions prior
to settlement. As a result, the Partnership is generally subject only to the
risk of loss arising from the change in the value of the contracts. As such, the
Partnership considers the 'fair value' of its futures and forward contracts to
be the net unrealized gain or loss on the contracts. The market risk associated
with the Partnership's commitments to purchase commodities is limited to the
gross or face amount of the contracts held. However, when the Partnership enters
into a contractual commitment to sell commodities, it must make delivery of the
underlying commodity at the contract price and then repurchase the contract at
prevailing market prices. Since the repurchase price to which a commodity can
rise is unlimited, entering into commitments to sell commodities exposes the
Partnership to unlimited risk.

   Trading in options involves the payment or receipt of a premium and the
corresponding right or obligation, as the case may be, to either purchase or
sell the underlying commodity for a specified price during a limited period of
time. Purchasing options involves the risk that the underlying commodity does
not change price as expected, so that the option expires worthless and the
premium is lost. On the other hand, selling options involves unlimited risk
because the Partnership is exposed to the potentially unlimited price movement
in the underlying commodity.

   Market risk is influenced by a wide variety of factors including government
programs and policies, political and economic events, the level and volatility
of interest rates, foreign currency exchange rates, the diversification effects
among the derivative instruments the Partnership holds and the liquidity and
inherent volatility of the markets in which the Partnership trades.

Credit risk

   When entering into futures, forward and options contracts, the Partnership is
exposed to credit risk that the counterparty to the contract will not meet its
obligations. The counterparty for futures and options contracts traded in the
United States and on most foreign futures and options exchanges is the
clearinghouse associated with such exchanges. In general, clearinghouses are
backed by their corporate members who are required to share any financial burden
resulting from the nonperformance by one of their members and, as such, should
significantly reduce this credit risk. In cases where the clearinghouse is not
backed by the clearing members (i.e., some foreign exchanges), it is normally
backed by a consortium of banks or other financial institutions. On the other
hand, the sole counterparty to the Partnership's forward transactions is PSI,
the Partnership's commodity broker. The Partnership has entered into a master
netting agreement with PSI and, as a result, presents unrealized gains and
losses on open forward positions as a net amount in the statements of financial
condition. The amount at risk associated with counterparty nonperformance of all
of the Partnership's contracts is the net unrealized gain (plus premiums paid on
options) included in the statements of financial condition. There can be no
assurance that any counterparty, clearing member or clearinghouse will meet its
obligations to the Partnership.

                                       9

<Page>

   The General Partner attempts to minimize both credit and market risks by
requiring the Partnership and its Trading Managers to abide by various trading
limitations and policies. The General Partner monitors compliance with these
trading limitations and policies which include, but are not limited to:
executing and clearing all trades with creditworthy counterparties, limiting the
amount of margin or premium required for any one commodity or all commodities
combined, and generally limiting transactions to contracts which are traded in
sufficient volume to permit the taking and liquidating of positions.
Additionally, pursuant to each Advisory Agreement among the Partnership, the
General Partner and each Trading Manager, the General Partner shall
automatically terminate a Trading Manager if the net asset value allocated to
the Trading Manager declines by 33 1/3% since the commencement of its trading
activities or from the value at the beginning of any year. Futhermore, the
Amended and Restated Agreement of Limited Partnership provides that the
Partnership will liquidate its positions, and eventually dissolve, if the
Partnership experiences a decline in the net asset value to less than 50% of the
value at commencement of trading activities. In each case, the decline in net
asset value is after giving effect for distributions and redemptions. The
General Partner may impose additional restrictions (through modifications of
trading limitations and policies) upon the trading activities of the trading
managers as it, in good faith, deems to be in the best interest of the
Partnership.

   PSI, when acting as the Partnership's futures commission merchant in
accepting orders for the purchase or sale of domestic futures and options
contracts, is required by Commodity Futures Trading Commission ('CFTC')
regulations to separately account for and segregate as belonging to the
Partnership all assets of the Partnership relating to domestic futures and
options trading (subject to the opt out provisions discussed below) and is not
allowed to commingle such assets with other assets of PSI. At December 31, 2001,
such segregated assets totalled $8,479,472. Part 30.7 of the CFTC regulations
also requires PSI to secure assets of the Partnership related to foreign futures
and options trading which totalled $3,142,179 at December 31, 2001. There are no
segregation requirements for assets related to forward trading.

   The CFTC promulgated rules that allow futures commission merchants to permit
certain customers, including the Partnership, to opt out of segregation with
regard to trading on certain exchanges, but PSI has not done so to date. If the
Partnership were to opt out, its funds could be held in a broader and
potentially riskier range of investments than are allowed for segregated funds.

   As of December 31, 2001, the Partnership's open futures, forward and options
contracts mature within six months.

   At December 31, 2000, the fair value of open futures, forward and options
contracts was:

<Table>
<Caption>
                                                     2000
                                           -------------------------
<S>                                        <C>           <C>
                                             Assets      Liabilities
                                           ----------    -----------
Futures Contracts:
  Domestic exchanges
     Interest rates                        $  342,034     $      --
     Stock indices                              9,940            --
     Currencies                               524,721         4,640
     Commodities                               77,160        25,700
  Foreign exchanges
     Interest rates                           259,017           493
     Stock indices                             46,489            --
     Commodities                                9,819        62,840
Forward Contracts:
     Currencies                               436,854       171,398
Options Contracts:
  Domestic exchanges
     Interest rates                                --         1,219
     Currencies                                    --         1,875
     Commodities                                   --           880
                                           ----------    -----------
                                           $1,706,034     $ 269,045
                                           ----------    -----------
                                           ----------    -----------
</Table>

                                       10
 
<PAGE>
<Page>

G. Financial Highlights

<Table>
<Caption>
                                                                          For the year ended
                                                                           December 31, 2001
                                                                          -------------------
     <S>                                                                  <C>
     Performance per Unit
       Net asset value, beginning of period                                    $  222.83
                                                                          -------------------
       Net realized gain and change in net unrealized gain/loss on
          commodity transactions                                                    5.37
       Interest from U.S. Treasury bills                                            6.14
       Expenses                                                                   (24.24)
                                                                          -------------------
       Net decrease for the period                                                (12.73)
                                                                          -------------------
       Net asset value, end of period                                          $  210.10
                                                                          -------------------
                                                                          -------------------
     Total return                                                                  (5.71)%
     Ratio to average net assets
       Interest income                                                              2.88%
       Expenses, including 0.48% of incentive fees                                 11.33%
</Table>

   These financial highlights represent the overall results of the Partnership
during 2001. An individual partner's actual results may differ depending on the
timing of redemptions.

                                       11

<Page>
-------------------------------------------------------------------------------

   I hereby affirm that, to the best of my knowledge and belief, the information
contained herein relating to Prudential-Bache Capital Return Futures Fund 2,
L.P. is accurate and complete.

      PRUDENTIAL SECURITIES FUTURES
     MANAGEMENT INC.
     (General Partner)

by: Barbara J. Brooks
     Chief Financial Officer
-------------------------------------------------------------------------------

                                       12

<Page>

              PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND 2, L.P.
                            (a limited partnership)
               MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL
                      CONDITION AND RESULTS OF OPERATIONS

Liquidity and Capital Resources

   The Partnership commenced trading operations on October 6, 1989 with gross
proceeds of $101,010,000. After accounting for organizational and offering
costs, the Partnership's net proceeds were $99,010,000.

   At December 31, 2001, 100% of the Partnership's total net assets was
allocated to commodities trading. A significant portion of the net asset value
as of December 31, 2001 was held in U.S. Treasury bills (which represented
approximately 74% of the net asset value prior to redemptions payable) and cash,
which are used as margin for the Partnership's trading in commodities. Inasmuch
as the sole business of the Partnership is to trade in commodities, the
Partnership continues to own such liquid assets to be used as margin.

   The percentage that U.S. Treasury bills bears to the total net assets varies
each day, and from month to month, as the market values of commodity interests
change. The balance of the net assets is held in cash. All interest earned on
the Partnership's interest-bearing funds is paid to the Partnership.

   The commodities contracts are subject to periods of illiquidity because of
market conditions, regulatory considerations and other reasons. For example,
commodity exchanges limit fluctuations in certain commodity futures contract
prices during a single day by regulations referred to as 'daily limits.' During
a single day, no trades may be executed at prices beyond the daily limit. Once
the price of a futures contract for a particular commodity has increased or
decreased by an amount equal to the daily limit, positions in the commodity can
neither be taken nor liquidated unless traders are willing to effect trades at
or within the limit. Commodity futures prices have occasionally moved the daily
limit for several consecutive days with little or no trading. Such market
conditions could prevent the Partnership from promptly liquidating its commodity
futures positions.

   Since the Partnership's business is to trade futures, forward and options
contracts, its capital is at risk due to changes in the value of these contracts
(market risk) or the inability of counterparties to perform under the terms of
the contracts (credit risk). The Partnership's exposure to market risk is
influenced by a number of factors including the volatility of interest rates and
foreign currency exchange rates, the liquidity of the markets in which the
contracts are traded and the relationships among the contracts held. The
inherent uncertainty of the Partnership's speculative trading as well as the
development of drastic market occurrences could result in monthly losses
considerably beyond the Partnership's experience to date and could ultimately
lead to a loss of all or substantially all of investors' capital. The General
Partner attempts to minimize these risks by requiring the Partnership and its
Trading Managers to abide by various trading limitations and policies, which
include limiting margin amounts, trading only in liquid markets and permitting
the use of stop loss provisions. See Note F to the financial statements for a
further discussion on the credit and market risks associated with the
Partnership's futures, forward and options contracts.

   Redemptions by limited partners and the General Partner for the year ended
December 31, 2001 were $1,354,107 and $13,691, respectively, and for the year
ended December 31, 2000 were $4,379,752 and $44,154, respectively. Redemptions
by limited partners and the General Partner recorded from the commencement of
operations, October 6, 1989, through December 31, 2001 totalled $132,745,655 and
$1,886,793, respectively. Future redemptions will impact the amount of funds
available for investment in commodity contracts in subsequent periods.

   Welton, a trading manager to the Partnership, was terminated effective May
31, 2001 due to performance not meeting expectations relative to its peers. The
Welton Assets, which totalled approximately $2,189,000 as of June 30, 2001, were
reallocated to commodities trading on July 8, 2001. The Welton Assets earned
interest but were not subject to management fees or commissions during the
period that the assets were not allocated to trading. During July 2001, the
Partnership entered into agreements to reallocate the Welton Assets evenly
between Appleton and Eclipse. Appleton and Eclipse receive monthly management
fees on their portion of the reallocated assets equal to 1/6 of 1% (2% annually)
as compared to management fees paid to Welton ranging between 1/6 of 1% (2%
annually) and 1/3 of 1% (4% annually). Appleton and Eclipse earn a quarterly
incentive fee equal to 20% of the 'New High Net Trading Profits' (as defined in
each

                                       13

<Page>

advisory agreement among the Partnership, the General Partner and each trading
manager) as compared to the range of 15% to 20% for Welton. Additionally,
Appleton must recoup 100% (or $964,000) of Welton's cumulative trading losses
associated with its portion of the reallocated assets and Eclipse must recoup
only 50% (or $482,000) of its portion, before earning any incentive fees.

   In accordance with the Partnership Agreement, if the Partnership's net asset
value declines below $10 million as of the end of any business day, the
Partnership will dissolve. There can be no assurance that trading performance
and/or redemptions subsequent to December 31, 2001 will not cause the
Partnership's net asset value to fall below $10 million.

   The Partnership does not have, nor does it expect to have, any capital
assets.

Results of Operations

   The net asset value per Unit as of December 31, 2001 was $210.10, a decrease
of 5.71% from the December 31, 2000 net asset value per Unit of $222.83, which
was a decrease of 2.26% from the December 31, 1999 net asset value per Unit of
$227.98. The Zurich Fund/Pool Qualified Universe Index (formerly the MAR
Fund/Pool Index), which tracked the performance of approximately 272 futures
funds at December 31, 2001, returned gains of 7.52% and 9.41%, for the years
ended December 31, 2001 and 2000, respectively. Past performance is not
necessarily indicative of future results.

   The Partnership had gross trading gains of $326,000, $298,000 and $727,000
for the years ended December 31, 2001, 2000 and 1999, respectively. Due to the
nature of the Partnership's trading activities, a year to year comparison of its
trading results is not meaningful. However, a detailed discussion of the
Partnership's current year trading results is presented below.

   Net gains for the Partnership were the result of profits in the currency,
interest rate and index sectors. Net losses were experienced in the metals and
energy sectors.

   In foreign exchange markets, the U.S. dollar rose slightly against many
foreign currencies during the first half of the year, reflecting expectations
that some of those economies might be adversely affected by slower economic
growth in the United States. Additionally, the U.S. dollar strengthened as
investors around the globe felt that it was the safest currency in this time of
economic uncertainty. Short Japanese yen positions resulted in gains as the yen
fell due to continued signs of weakness in the Japanese economy and expectations
that the Bank of Japan would reinstate its zero-interest rate policy. The U.S.
dollar fell against most major currencies during the third quarter, particularly
the Japanese yen, the euro and the Swiss franc. The U.S. dollar's downward trend
against many currencies accelerated after September 11th. As a result of the
attacks, many investors switched exposure from the U.S. dollar to other
currencies which rose against the U.S. dollar resulting in gains for Japanese
yen and Swiss franc positions. The U.S. dollar strengthened slightly towards
year-end amid hopes of an economic recovery in the U.S.

   In light of the rapid weakening in economic expansion and deterioration in
business and consumer confidence, the U.S. Federal Reserve (the 'Fed') followed
a relatively aggressive policy, lowering interest rates three times during the
first quarter of 2001. Other central banks followed the Fed's lead lowering
interest rates as well. Interest rate instruments trended upward throughout most
of the second and third quarters as major central banks cut short-term interest
rates in an attempt to bolster slowing economies. The bond market rally
continued in the wake of September 11th as the Fed moved to inject liquidity
into the economy, cutting interest rates 50 basis points on September 17th to
3%. This move was soon followed by the Central Bank of Canada, the European
Central Bank and Swiss National Central Bank who also lowered their rates 50
basis points. U.S. and European interest rate instruments began the fourth
quarter up as data indicated persistent weakness in the U.S. economy. In an
effort to stimulate the economy, the Fed lowered interest rates by 50 basis
points in October and again in early November. The European Central Bank and the
Bank of England each cut rates by 50 basis points in November. In mid-November,
some positive economic news, the fall of Kabul, Afghanistan and an announcement
by the U.S. Treasury regarding the cessation of sales of 30-year bonds, resulted
in one of the greatest reversals the U.S. bond market has seen in recent times.
Interest rates climbed sharply in the U.S. and Europe causing bond prices to
fall. In December, the Fed lowered rates by another 25 basis points and bond
prices climbed slightly. Gains resulted from long euro and Australian bond
positions during the first, third and fourth quarters of the year.

   Equity markets performed poorly across the board during the first half of the
year as foreign stock markets generally followed the downtrend of the U.S.
markets. Technology stocks led this market downturn

                                       14
 
<PAGE>
<Page>

and the NASDAQ fell to its lowest level in nearly two years. Losses in the Dow
Jones and NASDAQ brought these indices under the key 10,000 and 2,000 levels,
respectively, with the DAX, FTSE, CAC-40 and Nikkei experiencing similar losses.
Short S&P 500 and London FTSE positions resulted in gains during the first
quarter of the year. The terrorist attacks of September 11th further weakened
the sluggish U.S. and global economies plunging equity markets downward
throughout the world in the week following the attacks. In the week following
the attack, the Dow Jones industrial average suffered its worst weekly
percentage loss since the Great Depression due to uncertainty about how the
economy would perform as a result of these attacks and other threats of
terrorism. U.S. equity indices recovered somewhat at the end of September as
interest rate cuts by the Fed and fiscal stimuli by Congress combined to
stimulate an economic rebound. Global equity markets followed suit rebounding
from earlier lows as well. U.S. and global equity markets rallied in November
amid positive developments in the war in Afghanistan and sentiment that the U.S.
economy may be emerging from its recession. Equity markets reversed in December
providing a negative return for the second consecutive year. Losses incurred in
equity index positions during the second and fourth quarters were offset by
gains during the rest of the year, producing net gains for the index sector.

   Gold prices rallied to a ten-month high in May before reversing course amid
rumors that Russia would sell a portion of its gold reserve. Metal prices fell
throughout the fourth quarter amid decreased demand due to weak global economic
conditions. Long positions in aluminum, gold and copper resulted in losses.

   Energy prices generally remained high throughout most of the first quarter of
2001. Crude oil prices increased in January as OPEC announced a likely 5% cut in
production. During the second quarter, energy prices fell in response to growing
inventory levels of crude oil and related products. Energy prices peaked sharply
immediately after the September 11th attacks amid worries of a potential
interruption in supplies. Prices soon reversed course as concerns of decreased
demand caused by a global economic recession outweighed fears of scarcity. Two
weeks after the attacks, oil prices plunged more than 12% to a 22-month low of
$23 a barrel. OPEC leaders announced that with prices within their $22 to $28 a
barrel target, they saw no need to alter output and assured that there will be
no disruption in supplies. Fear of continued terrorist attacks, sluggish
economies and mild winter weather continued to limit growth in global demand for
oil during the fourth quarter. A coordinated cut in oil output by OPEC and
non-OPEC producers was agreed upon as OPEC tried to regain control of crude oil
prices. Crude oil and natural gas positions incurred losses during the first,
third and fourth quarters of the year resulting in net losses for the
Partnership in this sector.

   Interest income is earned on the Partnership's investments in U.S. Treasury
bills and varies monthly according to interest rates as well as the effect of
trading performance and redemptions on the level of interest-bearing funds.
Interest income from U.S. Treasury bills decreased by $278,000 during 2001
compared to 2000 and decreased $123,000 during 2000 as compared to 1999. The
decline in 2001 was principally due to lower interest rates in 2001 as compared
with 2000 and fewer funds being invested in U.S. Treasury bills as a result of
redemptions and weak trading performance during most of 2001 and 2000. The 2000
decline was principally due to fewer funds being invested in U.S. Treasury bills
as a result of redemptions and weak trading performance during most of 2000 and
1999 offset, in part, by higher overall interest rates in 2000 versus 1999.

   Commissions paid to PSI are calculated on the Partnership's net asset value
on the first day of each month and, therefore, vary monthly according to trading
performance and redemptions. Commissions decreased by approximately $216,000
during 2001 as compared to 2000 and decreased by $565,000 during 2000 as
compared to 1999 principally due to the effect of weak trading performance and
redemptions on the monthly net asset values. Additionally, a portion of the
Partnership's assets was not allocated to commodities trading between June 1,
2001 and July 7, 2001 (as more fully discussed in Note A to the financial
statements) and, therefore, was not subject to commissions during that period.

   All trading decisions are currently being made by Eclipse, Trendlogic and
Appleton. Welton made trading decisions on the Welton Assets until their
termination, effective May 31, 2001. Management fees are calculated on the
portion of the Partnership's net asset value allocated to each Trading Manager
as of the end of each month and, therefore, are affected by trading performance
and redemptions. Management fees decreased by $65,000 during 2001 as compared to
2000, and decreased by $152,000 during 2000 as compared to 1999 due to
fluctuations in monthly net asset values as described in the discussion on
commissions above. Additionally, the portion of assets which was not allocated
to commodities trading between June 1, 2001 and July 7, 2001, as referred to in
the discussion on commissions above, was not subject to management fees.

                                       15

<Page>

   Incentive fees are based on the 'New High Net Trading Profits' generated by
each Trading Manager, as defined in each Advisory Agreement among the
Partnership, the General Partner and each Trading Manager. Appleton generated
sufficient trading profits during 2001 to earn incentive fees of $61,000.
Despite overall Partnership trading losses during 1999, Eclipse generated
sufficient trading profits during 1999 to earn incentive fees of $180,000. No
incentive fees were incurred by the Partnership during 2000.

   General and administrative expenses decreased by $5,000 during 2001 as
compared to 2000, and decreased $21,000 during 2000 as compared to 1999. These
expenses include reimbursements of costs incurred by the General Partner on
behalf of the Partnership, in addition to accounting, audit, tax and legal fees
as well as printing and postage costs related to reports sent to limited
partners.

Financial Reporting by Commodity Pools

   During March 2001, the Accounting Standards Executive Committee ('AcSEC')
issued Statement of Position ('SOP') 01-1, Amendment to Scope of Statement of
Position 95-2, Financial Reporting by Nonpublic Investment Partnerships, to
Include Commodity Pools, which is effective for financial statements issued for
periods ending after December 15, 2001. This SOP amends SOP 95-2, Financial
Reporting by Nonpublic Investment Partnerships, to include within its scope
commodity pools such as this Partnership. Under the new requirements, the
Partnership is required to present a condensed schedule of investments and
certain other information in accordance with the American Institute of Certified
Public Accountants' Audit and Accounting Guide 'Audits of Investment Companies.'
The adoption of the requirements of
SOP 01-1 has not had a material effect on the Partnership's financial position
or results of operations.

Inflation

   Inflation has had no material impact on operations or on the financial
condition of the Partnership from inception through December 31, 2001.

                                       16

<Page>

                               OTHER INFORMATION

   The actual round-turn equivalent of brokerage commissions paid per contract
for the year ended December 31, 2001 was $92.

   The Partnership's Annual Report on Form 10-K as filed with the Securities and
Exchange Commission is available to limited partners without charge upon written
request to:

        Prudential-Bache Capital Return Futures Fund 2, L.P./0TH
        Peck Slip Station
        P.O. Box 2303
        New York, New York 10273-0005

                                       17

<Page>

0TH
Peck Slip Station                                   PRESORTED
P.O. Box 2303                                       STANDARD
New York, NY 10273-0005                            U.S. POSTAGE
                                                      PAID
                                                  Automatic Mail
PBCR2/171781