<PAGE>
                       SECURITIES AND EXCHANGE COMMISSION
                             Washington, D.C. 20549
 
                                   FORM 10-Q
 
(Mark One)
 
/X/ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
ACT OF 1934
 
For the quarterly period ended March 31, 1997
 
                                       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 incorporation or organization)      (I.R.S. Employer Identification No.)
 
One New York Plaza, 14th Floor New York, New York
                                                10292
--------------------------------------------------------------------------------
(Address of principal executive offices)        (Zip Code)
 
Registrant's telephone number, including area code (212) 778-7866
 
                                      N/A
--------------------------------------------------------------------------------
   Former name, former address and former fiscal year, if changed since last
                                    report.
 
   Indicate by check CK 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 __

<PAGE>
                         Part I. FINANCIAL INFORMATION
                          ITEM 1. FINANCIAL STATEMENTS
              PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND 2, L.P.
                            (a limited partnership)
                       STATEMENTS OF FINANCIAL CONDITION
                                  (Unaudited)
<TABLE>
<CAPTION>
                                                                        March 31,       December 31,
                                                                          1997              1996
<S>                                                                   <C>               <C>
----------------------------------------------------------------------------------------------------
ASSETS
Equity in commodity trading accounts:
Cash                                                                   $ 8,076,439      $ 7,947,679
U.S. Treasury bills, at amortized cost                                  23,527,149       25,015,580
Net unrealized gain on open commodity positions                            237,636          658,774
                                                                      -------------     ------------
Total assets                                                           $31,841,224      $33,622,033
                                                                      -------------     ------------
                                                                      -------------     ------------
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable                                                    $   618,116      $ 1,692,233
Management fees payable                                                     95,469          117,811
Accrued expenses                                                            47,297           49,264
Due to affiliates                                                           35,185           54,587
Options, net, at market                                                     13,828           44,006
Incentive fees payable                                                          --          657,105
                                                                      -------------     ------------
Total liabilities                                                          809,895        2,615,006
                                                                      -------------     ------------
Commitments
Partners' capital
Limited partners (129,125 and 131,697 units outstanding)                30,720,848       30,696,788
General partner (1,305 and 1,331 units outstanding)                        310,481          310,239
                                                                      -------------     ------------
Total partners' capital                                                 31,031,329       31,007,027
                                                                      -------------     ------------
Total liabilities and partners' capital                                $31,841,224      $33,622,033
                                                                      -------------     ------------
                                                                      -------------     ------------
Net asset value per limited and general partnership unit ('Units')     $    237.92      $    233.09
                                                                      -------------     ------------
                                                                      -------------     ------------
----------------------------------------------------------------------------------------------------
                  The accompanying notes are an integral part of these statements
</TABLE>
                                       2
<PAGE>
              PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND 2, L.P.
                            (a limited partnership)
                            STATEMENTS OF OPERATIONS
                                  (Unaudited)
<TABLE>
<CAPTION>
                                                                               Three Months
                                                                              Ended March 31,
                                                                         -------------------------
                                                                            1997           1996
<S>                                                                      <C>            <C>
--------------------------------------------------------------------------------------------------
REVENUES
Net realized gain on commodity transactions                              $1,779,360     $  273,086
Change in net unrealized gain on open commodity positions                  (426,019)       357,361
Interest from U.S. Treasury bills                                           292,367        272,486
                                                                         ----------     ----------
                                                                          1,645,708        902,933
                                                                         ----------     ----------
EXPENSES
Commissions                                                                 672,527        686,225
Management fees                                                             290,034        287,838
Incentive fees                                                               --             32,968
General and administrative                                                   40,729         60,012
                                                                         ----------     ----------
                                                                          1,003,290      1,067,043
                                                                         ----------     ----------
Net income (loss)                                                        $  642,418     $ (164,110)
                                                                         ----------     ----------
                                                                         ----------     ----------
ALLOCATION OF NET INCOME (LOSS)
Limited partners                                                         $  635,990     $ (153,899)
                                                                         ----------     ----------
                                                                         ----------     ----------
General partner                                                          $    6,428     $  (10,211)
                                                                         ----------     ----------
                                                                         ----------     ----------
NET INCOME (LOSS) PER WEIGHTED AVERAGE
LIMITED AND GENERAL PARTNERSHIP UNIT
Net income (loss) per weighted average
  limited and general partnership unit                                   $     4.83     $    (1.01)
                                                                         ----------     ----------
                                                                         ----------     ----------
Weighted average number of limited
  and general partnership units outstanding                                 133,028        161,818
                                                                         ----------     ----------
                                                                         ----------     ----------
--------------------------------------------------------------------------------------------------
</TABLE>
                   STATEMENT OF CHANGES IN PARTNERS' CAPITAL
                                  (Unaudited)
<TABLE>
<CAPTION>
                                                            LIMITED         GENERAL
                                              UNITS        PARTNERS         PARTNER          TOTAL
<S>                                          <C>          <C>             <C>             <C>
-----------------------------------------------------------------------------------------------------
Partners' capital--December 31, 1996          133,028     $30,696,788     $   310,239     $31,007,027
Net income                                                    635,990           6,428         642,418
Redemptions                                    (2,598)       (611,930)         (6,186)       (618,116)
                                             --------     -----------     -----------     -----------
Partners' capital--March 31, 1997             130,430     $30,720,848     $   310,481     $31,031,329
                                             --------     -----------     -----------     -----------
                                             --------     -----------     -----------     -----------
-----------------------------------------------------------------------------------------------------
                   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)
                         NOTES TO FINANCIAL STATEMENTS
                                 MARCH 31, 1997
                                  (Unaudited)
 
A. General
 
   These financial statements have been prepared without audit. In the opinion
of management, the financial statements contain all adjustments (consisting of
only normal recurring adjustments) necessary to present fairly the financial
position of Prudential-Bache Capital Return Futures Fund 2, L.P. (the
'Partnership') as of March 31, 1997 and the results of its operations for the
three months ended March 31, 1997 and 1996. However, the operating results for
the interim periods may not be indicative of the results expected for a full
year.
 
   Certain information and footnote disclosures normally included in annual
financial statements prepared in accordance with generally accepted accounting
principles have been omitted. It is suggested that these financial statements be
read in conjunction with the financial statements and notes thereto included in
the Partnership's Annual Report on Form 10-K filed with the Securities and
Exchange Commission for the year ended December 31, 1996 (the 'Annual Report').
 
   Certain balances from the prior period have been reclassified to conform with
the current financial statement presentation.
 
B. Related Parties
 
   Prudential Securities Futures Management Inc. (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 months ended March 31,
1997 and 1996 were:
 
<TABLE>
<CAPTION>
                                                    1997         1996
<S>                                               <C>          <C>
-----------------------------------------------------------------------
Commissions                                       $672,527     $686,225
General and administrative                          28,859       28,400
                                                  --------     --------
                                                  $701,386     $714,625
                                                  --------     --------
                                                  --------     --------
</TABLE>
 
   The General Partner is a wholly-owned subsidiary of Prudential Securities
Incorporated ('PSI'). The Partnership maintains its trading and cash accounts at
PSI, the Partnership's commodity broker. Approximately 75% of the net asset
value is invested 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. As described in the
Annual Report, all commissions for brokerage services are paid to PSI.
 
   In connection with the Partnership's interbank transactions, PSI engages in
foreign currency forward transactions with the Partnership and an affiliate of
PSI who, as principal, attempts to earn a profit on the bid-ask spreads (which
must be competitive) on any foreign currency forward transactions entered into
between the Partnership and PSI, on the one hand, and PSI and such affiliate on
the other. In connection with its trading of foreign currencies in the interbank
market, PSI may arrange bank lines of credit at major international banks. To
the extent such lines of credit are arranged, PSI does not charge the
Partnership for maintaining such lines of credit, but requires margin deposits
with respect to forward contract transactions.
 
C. Credit and Market Risk
 
   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).
 
   Futures, forward and options contracts involve varying degrees of off-balance
sheet risk; and changes in the level of volatility of interest rates, foreign
currency exchange rates or the market values of the contracts
 
                                       4
<PAGE>
(or commodities underlying the contracts) frequently result in changes in the
Partnership's unrealized gain (loss) on open commodity positions reflected on
the statements of financial condition. The Partnership's exposure to market risk
is influenced by a number of factors including the relationships among the
contracts held by the Partnership as well as the liquidity of the markets in
which the contracts are traded.
 
   Futures and options contracts are traded on organized exchanges and are thus
distinguished from forward contracts which are entered into privately by the
parties. The credit risks associated with futures and options contracts are
typically perceived to be less than those associated with forward contracts,
because exchanges typically provide clearinghouse arrangements in which the
collective credit (subject to certain limitations) of the members of the
exchanges is pledged to support the financial integrity of the exchange. On the
other hand, the Partnership must rely solely on the credit of its broker (PSI)
with respect to forward transactions. The Partnership presents unrealized gains
and losses on open forward positions as a net amount in the statements of
financial condition because it has a master netting agreement with PSI.
 
   The General Partner attempts to minimize both credit and market risks by
requiring the Partnership's 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 (currently,
PSI is the sole counterparty or broker); 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. The General Partner
may impose additional restrictions (through modifications of such 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 and is not to commingle such assets with other assets of PSI. At
March 31, 1997 and December 31, 1996, such segregated assets totalled
$19,811,844 and $24,078,572, respectively. 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 $12,229,787 and $9,271,094 at March 31, 1997
and December 31, 1996, respectively. There are no segregation requirements for
assets related to forward trading.
 
   As of March 31, 1997 and December 31, 1996, the Partnership's open futures,
forward and options contracts mature within one year.
 
   At March 31, 1997 and December 31, 1996, gross contract amounts of open
futures, forward and options contracts are:

<TABLE>
<CAPTION>
                                         March 31,      December 31,
                                            1997            1996
                                        ------------    ------------
<S>                                     <C>             <C>
Currency Forward Contracts:
     Commitments to purchase            $    244,443    $27,427,116
     Commitments to sell                $ 11,843,700    $19,223,534
Currency Futures and Options
  Contracts:
     Commitments to purchase            $  3,854,839    $ 7,651,893
     Commitments to sell                $  7,173,356    $15,877,256
Financial Futures and Options
  Contracts:
     Commitments to purchase            $ 11,964,824    $110,757,098
     Commitments to sell                $191,152,826    $38,688,741
Other Futures and Options Contracts:
     Commitments to purchase            $  1,491,100             --
     Commitments to sell                $     98,802    $   320,262
</TABLE>
 
   The gross contract amounts represent the Partnership's potential involvement
in a particular class of financial instrument (if it were to take or make
delivery on an underlying futures, forward or options contract). The gross
contract amounts significantly exceed the future cash requirements as the
Partnership intends to
 
                                       5
<PAGE>
close out open positions prior to settlement and thus 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, forward and
options contracts to be the net unrealized gain or loss on the contracts (plus
premiums on options). Thus, the amount at risk associated with counterparty
nonperformance of all contracts is the net unrealized gain included in the
statements of financial condition. The market risk associated with the
Partnership's commitments to purchase commodities is limited to the gross
contract amounts, while the market risk associated with its commitments to sell
is unlimited since the Partnership's potential involvement is to make delivery
of an underlying commodity at the contract price; therefore, it must repurchase
the contract at prevailing market prices.
 
   At March 31, 1997 and December 31, 1996, the fair value of open futures,
forward and options contracts was:
 
<TABLE>
<CAPTION>
                                            March 31, 1997              December 31, 1996
                                       ------------------------     --------------------------
                                              Fair Value                    Fair Value
                                       ------------------------     --------------------------
                                        Assets      Liabilities       Assets       Liabilities
                                       --------     -----------     ----------     -----------
<S>                                    <C>          <C>             <C>            <C>
Futures Contracts:
  Domestic exchanges
     Financial                         $305,963      $       --     $       --      $  (55,900)
     Currencies                          52,592         (15,565)       194,561         (96,820)
     Other                               35,640         (16,755)       313,497          (6,743)
  Foreign exchanges
     Financial                          129,754         (41,883)       316,218        (238,492)
     Other                                3,500          (1,375)         4,092              --
Forward Contracts:
     Currencies                          61,833        (276,068)       535,753        (307,392)
Options Contracts:
  Domestic exchanges
     Financial                               --         (22,063)            --         (10,000)
     Currencies                              --         (24,200)            --              --
     Other                               15,020          (1,250)            --         (23,168)
  Foreign exchanges
     Financial                           22,093          (3,428)            --         (10,838)
                                       --------     -----------     ----------     -----------
                                       $626,395      $ (402,587)    $1,364,121      $ (749,353)
                                       --------     -----------     ----------     -----------
                                       --------     -----------     ----------     -----------
</TABLE>
                                       6
<PAGE>
   The following table presents the average fair value of futures, forward and
options contracts during the three months ended March 31, 1997 and 1996,
respectively.
 
<TABLE>
<CAPTION>
                                           Three months ended             Three months ended
                                             March 31, 1997                 March 31, 1996
                                       --------------------------     --------------------------
                                           Average Fair Value             Average Fair Value
                                       --------------------------     --------------------------
                                         Assets       Liabilities       Assets       Liabilities
                                       ----------     -----------     ----------     -----------
<S>                                    <C>            <C>             <C>            <C>
Futures Contracts:
  Domestic exchanges
     Financial                         $   86,694      $  (27,373)    $  506,566     $    (4,944)
     Currencies                           439,976         (38,977)       361,084        (256,146)
     Other                                291,449          (8,320)         4,329         (70,860)
  Foreign exchanges
     Financial                            324,073         (86,444)       761,634         (54,268)
     Other                                  6,886          (5,394)            --              --
Forward Contracts:
     Currencies                           796,321        (450,203)       736,468        (448,658)
Options Contracts:
  Domestic exchanges
     Financial                                 --         (12,513)            --              --
     Currencies                                --         (91,738)        18,816          (7,794)
     Other                                 18,352          (7,089)            --              --
  Foreign exchanges
     Financial                              5,523          (5,620)            --              --
                                       ----------     -----------     ----------     -----------
                                       $1,969,274      $ (733,671)    $2,388,897     $  (842,670)
                                       ----------     -----------     ----------     -----------
                                       ----------     -----------     ----------     -----------
</TABLE>
 
      The following table presents the net realized gains (losses) and the
change in net unrealized gains/
losses of futures, forward and options contracts during the three months ended
March 31, 1997 and 1996, respectively.
 
<TABLE>
<CAPTION>
                                Three months ended March 31, 1997                   Three months ended March 31, 1996
                         ------------------------------------------------    ------------------------------------------------
                                            Change in Net                                       Change in Net
                          Net Realized        Unrealized                      Net Realized        Unrealized
                         Gains (Losses)      Gains/Losses        Total       Gains (Losses)      Gains/Losses        Total
                         --------------    ----------------    ----------    --------------    ----------------    ----------
<S>                      <C>               <C>                 <C>           <C>               <C>                 <C>
Futures Contracts:
  Domestic exchanges
    Financial              $ (449,263)        $  361,863       $  (87,400)     $  403,450         $  164,169       $  567,619
    Currencies                514,560            (60,714)         453,846         159,680            332,698          492,378
    Other                     432,576           (287,869)         144,707        (372,070)           (12,785)        (384,855)
  Foreign exchanges
    Financial                  97,947             10,145          108,092         (94,598)          (485,458)        (580,056)
    Other                      13,284             (1,967)          11,317              --                 --               --
Forward Contracts:
    Currencies              1,053,384           (442,596)         610,788         105,707            335,237          440,944
Options Contracts:
  Domestic exchanges
    Financial                   1,581            (20,827)         (19,246)             --                 --               --
    Currencies                 67,050            (32,964)          34,086          70,917             23,500           94,417
    Other                      42,168             28,171           70,339              --                 --               --
  Foreign exchanges
    Financial                   6,073             20,739           26,812              --                 --               --
                         --------------    ----------------    ----------    --------------    ----------------    ----------
                           $1,779,360         $ (426,019)      $1,353,341      $  273,086         $  357,361       $  630,447
                         --------------    ----------------    ----------    --------------    ----------------    ----------
                         --------------    ----------------    ----------    --------------    ----------------    ----------
</TABLE>
                                       7
<PAGE>
              PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND 2, L.P.
                            (a limited partnership)
           ITEM 2. 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 the inception of the
Partnership, sixty percent of the net proceeds was allocated to commodities
trading activity and forty percent was placed in reserve and invested in
investment grade interest-bearing obligations ('Reserve Assets'). On January 3,
1995, the Reserve Assets matured and the resulting proceeds were allocated to
commodities trading.
 
   At March 31, 1997, 100% of the Partnership's assets are allocated to
commodities trading. A significant portion of the net asset value 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 total 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 general partner attempts to minimize these
risks by requiring the Partnership's trading managers to abide by various
trading limitations and policies. See Note C to the financial statements for a
further discussion on the credit and market risks associated with the
Partnership's futures, forwards and options contracts.
 
   Redemptions by limited partners and the general partner recorded for the
three months ended March 31, 1997 were $611,930 and $6,186, respectively.
Redemptions by limited partners and the general partner from commencement of
operations, October 6, 1989, through March 31, 1997 totalled $115,891,912 and
$1,716,531, respectively. Future redemptions will impact the amount of funds
available for investment in commodity contracts in subsequent periods.
 
   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 March 31, 1997 was $237.92, an increase of
2.07% from the December 31, 1996 net asset value per Unit of $233.09.
 
   January's positive performance began the New Year with a bang. With the
exception of the energy sector, all sectors traded were profitable. Profitable
sectors included the metal, currency, financial, stock index, soft, meat and
grain sectors. In the metal sector, the Partnership profited as gold prices
declined to October 1993 levels as investors shifted assets into the booming
equity markets. Smaller gains were posted in zinc. In the currency sector, the
U.S. dollar continued to strengthen due to continued direct investments in the
U.S., strong U.S. financial markets and favorable trade data. However, European
and Japanese economies continued to struggle. Negative real interest rates, a
weak outlook for 1997 growth and a huge sell-off in the Nikkei 225 plagued the
Japanese yen. Unprecedented levels of unemployment in Germany made interest
 
                                       8
<PAGE>
rate hikes unlikely in the near future and will keep the Deutschemark under
further pressure. The British pound plummeted initially on concerns by the Bank
of England on the effect of currency strength. The pound continued to weaken
further on unfavorable industrial production and trade data. The Partnership's
German mark, British pound, Japanese yen and Swiss franc positions posted gains.
In the financial sector, the U.S. bond market was volatile as economic data
revived inflation concerns resulting in losses for the Partnership. German,
Italian, French, Australian and Japanese bond positions posted profits. In the
stock index sector, Nikkei, S&P 500, DTB, FTSE and CAC 40 positions were
profitable.
 
   February's negative performance was the result of losses incurred in the
metal, financial, stock index and energy sectors. Profits were posted in the
currency, soft, meat and grain sectors. In the metal sector, gold prices rose as
the lowest spot prices since 1993 rekindled demand. Prices also rose on news
that the European Union would not condone the sale of central bank gold reserves
to reduce government budget deficits. As a result, short positions in gold were
unprofitable. In the financial sector, U.S., Italian, Spanish, Australian and
Japanese bond positions posted losses. Continued speculation on the direction of
interest rates fueled volatility in global interest rate markets. Early in the
month, the central banks in Germany, England and the U.S. announced their
intention to keep rates stable, but speculation continued, as the focus in the
U.S. turned immediately to the Federal Reserve's next policy committee meeting
in March. Despite the best efforts of G-7 nations to talk the U.S. dollar down
from its lofty peaks, defiant market players pushed the greenback to new highs
against the German mark, Japanese yen and Swiss franc. Later in the month, hints
by the Chairman of the U.S. Federal Reserve of a possible interest rate hike
sent the dollar soaring as it seemed the U.S. currency would retain its
high-yield status in the global marketplace. Canadian dollar, German mark,
British pound and French franc positions posted gains. In the soft sector,
coffee and cocoa positions were profitable. The two-month bull trend in coffee
prices continued as unfavorable weather in Brazil and Colombia threatened
1997-1998 crop production and labor strife threatened delivery of supplies.
 
   March's negative performance resulted from losses in the metal, financial,
soft and energy sectors. However, profits were achieved in the currency, grain
and stock index sectors. In the metal sector, silver and gold positions posted
losses. Precious metals markets became more volatile, reflecting turmoil in
world equity markets. In the financial sector, German, French, British and
Japanese bond positions were unprofitable. Opportunities for gains in the global
interest rate markets were limited as continued speculation over the direction
of U.S. interest rates produced volatile and trendless markets. Additionally,
U.S. bond markets were buffeted by economic reports indicating a strengthening
economy and a growing conviction that interest rate hikes would follow. In
Europe, renewed speculation about a delay in the European Union's plans for
economic and monetary union pushed the German mark higher against the U.S.
dollar. The mark also realized hefty gains against the British pound, as
upcoming general elections in Britain kept the market on edge and investors took
profits in the pound. The largest profits were earned in the Japanese yen as
that currency continued to decline throughout the month resulting in profits for
the Partnership's short positions. The U.S. dollar, which was expected to
benefit from increasing rates in the U.S., was buffeted over the short term by
volatility in stock and bond markets. Canadian dollar, French franc and Japanese
yen positions resulted in gains.
 
   Interest income from U.S. Treasury bills for the three months ended March 31,
1997 increased by approximately $20,000 as compared to the same period in 1996.
This increase was due to a greater amount of funds invested in U.S. Treasury
bills during 1997 following a strong 1996 fourth quarter.
 
   Commissions are calculated on the net asset value on the first day of each
month and, therefore, vary based on monthly trading performance and redemptions.
Commissions decreased by approximately $14,000 for the three months ended March
31, 1997 as compared to the same period in 1996 principally due to the impact of
1996 redemptions on the monthly net asset values.
 
   All trading decisions are currently being made by John W. Henry & Co., Inc.,
Welton Investment System Corp. and Analytic/TSA Capital Management (the 'Trading
Managers'). Management fees are calculated on the 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 increased by approximately
$2,000 for the three months ended March 31, 1997 as compared to the same period
in 1996.
 
   Incentive fees are based on the New High Net Trading Profits generated by
each Trading Manager, as defined in the Advisory Agreement between the
Partnership, the General Partner and each Trading Manager.
 
                                       9
<PAGE>
Trading performance for the three months ended March 31, 1997 did not result in
incentive fees. Approximately $33,000 in incentive fees were earned for the
three months ended March 31, 1996.
 
   General and administrative expenses decreased by approximately $19,000 for
the three months ended March 31, 1997 as compared to the same period in 1996.
These expenses include reimbursement 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.
 
                                       10
<PAGE>
                           PART II. OTHER INFORMATION
 
Item 1. Legal Proceedings--There are no material legal proceedings pending by or
        against the Registrant or the General Partner.
 
Item 2. Changes in Securities--None
 
Item 3. Defaults Upon Senior Securities--None
 
Item 4. Submission of Matters to a Vote of Security Holders--None
 
Item 5. Other Information--None
 
Item 6. Exhibits and Reports on Form 8-K:
 
       (a) Exhibits
 
             4.1  Agreement of Limited Partnership of the Registrant, dated as
                  of June 8, 1989 as amended and restated as of July 21, 1989
                  (incorporated by 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)
 
            27    Financial Data Schedule (filed herewith)
 
       (b) Reports on Form 8-K--
 
           No reports on Form 8-K were filed during the quarter.
 
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                                   SIGNATURES
 
   Pursuant to the requirements of the Securities Exchange Act of 1934, the
Registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
 
Prudential-Bache Capital Return Futures Fund 2, L.P.
 
By: Prudential Securities Futures Management
Inc.A Delaware corporation, General Partner
 
     By: /s/ Steven Carlino                       Date: May 14, 1997
     ----------------------------------------
     Steven Carlino
     Vice President
     Chief Accounting Officer for the Registrant
 
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