<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, 2001

                                       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
incorporation or organization)                 No.)

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

   Registrant's Annual Report to Limited Partners for the year ended December
31, 2001 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.......................................................................   4
Item  3    Legal Proceedings................................................................   4
Item  4    Submission of Matters to a Vote of Limited Partners..............................   4

<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.....................................................................   5
Item 7A    Quantitative and Qualitative Disclosures About Market Risk.......................   5
Item  8    Financial Statements and Supplementary Data......................................   5
Item  9    Changes in and Disagreements with Accountants on Accounting and Financial
             Disclosure.....................................................................   5

<Caption>
PART III
<S>        <C>                                                                                <C>
Item 10    Directors and Executive Officers of the Registrant...............................   5
Item 11    Executive Compensation...........................................................   7
Item 12    Security Ownership of Certain Beneficial Owners and Management...................   7
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 Eclipse
Capital Management Inc. ('Eclipse'), Appleton Capital Management ('Appleton')
and Trendlogic Associates, Inc., independent commodity trading managers
(collectively, the 'Trading Managers'). Welton Investment Corporation
('Welton'), a trading manager to the Registrant, 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 Registrant 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
Registrant, 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 Registrant's trading
policies.

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

   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 an indirect wholly owned subsidiary of Prudential Financial, Inc. 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

                                       3
 
<PAGE>
<Page>

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, as well as with other market participants.

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 financial statements included in its annual report to limited
partners for the year ended December 31, 2001 ('Registrant's 2001 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

                                    PART II

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

   On October 6, 1989, the Registrant completed its offering. 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 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, 2002, there were 659 holders of record owning 55,128 Units,
including 552 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 11 of the Registrant's 2001
Annual Report which is filed as an exhibit hereto.

<Table>
<Caption>
                                                         Year ended December 31,
                                 ------------------------------------------------------------------------
                                     2001           2000           1999           1998           1997
                                 ------------   ------------   ------------   ------------   ------------
<S>                              <C>            <C>            <C>            <C>            <C>
Total revenue (including
  interest)                      $   689,072    $   938,800    $ 1,490,997    $   654,083    $ 7,625,240
                                 ------------   ------------   ------------   ------------   ------------
                                 ------------   ------------   ------------   ------------   ------------
Net income (loss)                $  (736,519)   $  (712,434)   $(1,077,632)   $(2,564,349)   $ 3,308,428
                                 ------------   ------------   ------------   ------------   ------------
                                 ------------   ------------   ------------   ------------   ------------
Net income (loss) per weighted
  average Unit                   $    (12.56)   $     (9.95)   $    (11.57)   $    (22.84)   $     25.75
                                 ------------   ------------   ------------   ------------   ------------
                                 ------------   ------------   ------------   ------------   ------------
Total assets                     $12,018,745    $14,324,066    $19,954,668    $25,030,894    $32,378,581
                                 ------------   ------------   ------------   ------------   ------------
                                 ------------   ------------   ------------   ------------   ------------
Net asset value per Unit         $    210.10    $    222.83    $    227.98    $    240.34    $    259.66
                                 ------------   ------------   ------------   ------------   ------------
                                 ------------   ------------   ------------   ------------   ------------
</Table>

                                       4

<Page>

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

   This information is incorporated by reference to pages 13 through 16 of the
Registrant's 2001 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 11
of the Registrant's 2001 Annual Report which is filed as an exhibit hereto.

   Selected unaudited quarterly financial data for the years ended December 31,
2001 and 2000 are summarized below:

<Table>
<Caption>
                                                   First         Second          Third         Fourth
                                                  Quarter        Quarter        Quarter        Quarter
                                                -----------    -----------    -----------    -----------
<S>                                             <C>            <C>            <C>            <C>
2001:
Total revenues (including interest)             $   883,962    $  (674,148)   $   (29,408)   $   508,666
                                                -----------    -----------    -----------    -----------
                                                -----------    -----------    -----------    -----------
Total revenues (including interest) less
  commissions                                   $   613,303    $  (920,390)   $  (267,425)   $   277,781
                                                -----------    -----------    -----------    -----------
                                                -----------    -----------    -----------    -----------
Net income (loss)                               $   443,980    $(1,015,521)   $  (359,840)   $   194,862
                                                -----------    -----------    -----------    -----------
                                                -----------    -----------    -----------    -----------
Net income (loss) per weighted average
  Interest                                      $      7.23    $    (17.14)   $     (6.26)   $      3.45
                                                -----------    -----------    -----------    -----------
                                                -----------    -----------    -----------    -----------
2000:
Total revenues (including interest)             $  (312,979)   $  (663,022)   $  (639,906)   $ 2,554,707
                                                -----------    -----------    -----------    -----------
                                                -----------    -----------    -----------    -----------
Total revenues (including interest) less
  commissions                                   $  (685,798)   $  (979,080)   $  (908,277)   $ 2,310,510
                                                -----------    -----------    -----------    -----------
                                                -----------    -----------    -----------    -----------
Net income (loss)                               $  (816,446)   $(1,095,304)   $(1,011,757)   $ 2,211,073
                                                -----------    -----------    -----------    -----------
                                                -----------    -----------    -----------    -----------
Net income (loss) per weighted average
  Interest                                      $     (9.89)   $    (14.99)   $    (15.07)   $     34.79
                                                -----------    -----------    -----------    -----------
                                                -----------    -----------    -----------    -----------
</Table>

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

None

                                    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:

                                       5

<Page>

<Table>
<Caption>
            Name                                      Position
<S>                             <C>
Alex H. Ladouceur               Chairman of the Board of Directors and Director
Eleanor L. Thomas               President and Director
Barbara J. Brooks               Chief Financial Officer
Guy S. Scarpaci                 Director
Tamara B. Wright                Senior Vice President and Director
Thomas T. Bales                 Vice President
David Buchalter                 Secretary
</Table>

   ALEX H. LADOUCEUR, born 1960, has been Chairman of the Board of Directors and
a Director of the Managing Owner since November 2001 and also has held such
positions with Seaport Futures Management, Inc. ('Seaport Futures'), an
affiliate of the Managing Owner, since such date. Mr. Ladouceur joined PSI in
August 2001 as Executive Vice President, Head of the Global Derivatives
division. He is responsible for all operating activities of PSI's Global
Derivatives division including sales and trading, foreign exchange, base and
precious metals, and the trading floors. In addition, Mr. Ladouceur has
responsibility for Alternative Investment Strategies. Mr. Ladouceur joined PSI
from Credit Lyonnais Rouse Ltd. ('CLR'), where he served as president of their
United States operations since 1992 and as a main board director of CLR in
London since 1994. In 1998, he was appointed managing director of Global Cash
Markets at CLR with responsibility for leading global market-making and sales
for OTC products, including structured derivative products. Mr. Ladouceur earned
his bachelor's degree in Economics from the University of Calgary in Alberta,
Canada, and his master's degree in European Studies from the College of Europe
in Bruges, Belgium.

   ELEANOR L. THOMAS, born 1954, has been a Director and President of the
Managing Owner since September 2000 and was a Director and Executive Vice
President from April 1999 to September 2000. She was a First Vice President of
the Managing Owner and Seaport Futures from October 1998 to April 1999 and a
Director and the President of Seaport Futures since such date. Ms. Thomas is a
Senior Vice President and the Director of Alternative Investment Strategies at
PSI. She is responsible for origination, asset allocation, due diligence,
marketing and sales for the group's product offerings. Prior to joining PSI in
March 1993, she was with MC Baldwin Financial Company from June 1990 through
February 1993 and Arthur Andersen & Co. from 1986 through May 1990. She
graduated Summa Cum Laude from Long Island University with a B.A. in English
Literature, and graduated Baruch College in 1986 with an M.B.A. in Accounting.
Ms. Thomas is a certified public accountant.

   BARBARA J. BROOKS, born 1948, became the Treasurer and Chief Financial
Officer of the Managing Owner in May 1990, at which time she also became the
Treasurer and Chief Financial Officer of Seaport Futures. In 1998, she
relinquished her position as Treasurer of the Managing Owner and Seaport
Futures. She is a Senior Vice President of PSI and is the Vice President-Finance
and the Chief Financial Officer of various entities affiliated with PSI. She has
been employed by PSI since 1983. Ms. Brooks is a certified public accountant.

   GUY S. SCARPACI, born 1947, has been a Director of the Managing Owner since
July 1987 and was Assistant Treasurer from May 1988 until December 1989. In
addition, Mr. Scarpaci has been a Director of Seaport Futures since May 1989.
Mr. Scarpaci was first affiliated with the Managing Owner in July 1987. Mr.
Scarpaci has been employed by PSI in positions of increasing responsibility
since August 1974, and he is currently a Senior Vice President of the Global
Derivatives division.

   TAMARA B. WRIGHT, born 1959, has been a Senior Vice President of the Managing
Owner and Seaport Futures since October 1998 and a Director of the Managing
Owner since December 1998. She is also a Senior Vice President and the Chief
Administrative Officer for the International Division at PSI. In this capacity,
her responsibilities include financial management, risk management, systems
implementation, employment matters and internal control policies and procedures.
Previously, Mrs. Wright served as Director of Consumer Markets Risk Management,
where she led the Domestic and International Branch efforts in ensuring the
timely resolution of audit, compliance and legal concerns. Prior to joining the
firm, Mrs. Wright

                                       6

<Page>

was a manager with PricewaterhouseCoopers LLP in its Management Consulting
division in New York, New York.

   THOMAS T. BALES, born 1959, is a Vice President of the Managing Owner. He is
also a Senior Vice President of Futures Administration in the Global Derivatives
division for PSI, and he serves in various capacities for other affiliated
companies. Prior to joining the Global Derivatives division, Mr. Bales served as
in-house counsel in the Law Department of PSI from October 1987 through May
1996. Mr. Bales joined PSI in November 1981 as an Analyst in the Credit Analysis
Department and later served as a Section Manager.

   DAVID BUCHALTER, born 1958, has been the Secretary of both the Managing Owner
and Seaport Futures since October 1996. Mr. Buchalter is a Senior Vice President
and is Senior Counsel in the Law Department of PSI. Prior to joining PSI in
January 1992, Mr. Buchalter was associated with the law firm of Rosenman & Colin
LLP from April 1988 to January 1992. Prior to that, from May 1983 though March
1988, Mr. Buchalter served as in-house counsel for Shearson Lehman Hutton, Inc.
and its predecessor firm, E.F. Hutton & Co., Inc.

   Effective March 2001, A. Laurence Norton, Jr. resigned as a Director of both
the Managing Owner and Seaport Futures. Additionally, Steven Carlino resigned as
Vice President and Treasurer for both the Managing Owner and Seaport Futures
effective March 2002.

   Effective November 2001, Alex H. Ladouceur was elected by the Board of
Directors of the Managing Owner as Chairman of the Board and he has served as
Chairman of the Board of Seaport Futures since November 2001.

   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, 2002, 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, 2002, no director or officer of the General Partner owns
directly or beneficially any of the Units issued by the Registrant.

   As of March 21, 2002, no partner beneficially owns more than five percent
(5%) of the limited partnership units issued by the Registrant.

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 2001 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>
<Page>

                                    PART IV

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

<Table>
<Caption>
                                                                                             Page in
                                                                                          Annual Report
<S>    <C>    <C>                                                                        <C>
(a)    1.     Financial Statements and Report of Independent Accountants--incorporated
              by reference to the Registrant's 2001 Annual Report which is filed as an
              exhibit hereto

              Report of Independent Accountants                                                 2

              Financial Statements:

              Statements of Financial Condition--December 31, 2001 and 2000                     3

              Condensed Schedule of Investments at December 31, 2001                            4

              Statements of Operations--Three years ended December 31, 2001                     5

              Statements of Changes in Partners' Capital--Three years ended December
              31, 2001                                                                          5

              Notes to Financial Statements                                                     6

       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)
</Table>

                                       8

<Page>

<Table>
<S>    <C>    <C>                                                                        <C>
       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)

       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)
</Table>

                                       9

<Page>

<Table>
<S>    <C>    <C>                                                                        <C>
       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)

       10.17  Advisory Agreement, dated September 1, 1998, among the Registrant,
              Prudential Securities Futures Management Inc. and Appleton Capital
              Management (formerly known as 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)

       10.19  Addendum to Advisory Agreement, dated July 6, 2001, among the
              Registrant, Prudential Securities Futures Management Inc. and Eclipse
              Capital Management, Inc. (incorporated by reference to Exhibit 10.19 to
              Registrant's Quarterly Report on Form 10-Q for the period ended June 30,
              2001)

       10.20  Addendum to Advisory Agreement, dated July 6, 2001, among the
              Registrant, Prudential Securities Futures Management Inc. and Appleton
              Capital Management (incorporated by reference to Exhibit 10.20 to
              Registrant's Quarterly Report on Form 10-Q for the period ended June 30,
              2001)

       13.1   Registrant's 2001 Annual Report (with the exception of the information
              and data incorporated by reference in Items 1, 7 and 8 of this Annual
              Report on Form 10-K, no other information or data appearing in the
              Registrant's 2001 Annual Report is to be deemed filed as part of this
              report) (filed herewith)

(b)           Reports on Form 8-K--None
</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.

<Table>
<S>                                               <C>
Prudential-Bache Capital Return Futures Fund 2, L.P.

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

     By: /s/ Barbara J. Brooks                    Date: March 28, 2002
     ----------------------------------------
     Barbara J. Brooks
     Chief Financial Officer
</Table>

   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.

<Table>
<S>                                               <C>
By: Prudential Securities Futures Management
Inc.A Delaware corporation, General Partner

    By: /s/ Alex H. Ladouceur                     Date: March 28, 2002
    -----------------------------------------
    Alex H. Ladouceur
    Chairman of the Board of Directors and
    Director

    By: /s/ Eleanor L. Thomas                     Date: March 28, 2002
    -----------------------------------------
    Eleanor L. Thomas
    President and Director

    By: /s/ Barbara J. Brooks                     Date: March 28, 2002
    -----------------------------------------
    Barbara J. Brooks
    Chief Financial Officer (chief accounting
    officer)

    By: /s/ Guy S. Scarpaci                       Date: March 28, 2002
    -----------------------------------------
    Guy S. Scarpaci
    Director

    By:                                           Date:
    -----------------------------------------
    Tamara B. Wright
    Senior Vice President and Director
</Table>

                                       11