<PAGE>
                                 UNITED STATES
                       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, 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 No.)
incorporation or organization)

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

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

                                      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,
                                                                          2001             2000
<S>                                                                    <C>             <C>
---------------------------------------------------------------------------------------------------
ASSETS
Cash                                                                   $ 2,853,124     $ 2,989,531
U.S. Treasury bills, at amortized cost                                  10,694,136       9,890,040
Net unrealized gain on open futures and options contracts                  474,122       1,179,039
Net unrealized gain on open forward contracts                              299,118         265,456
                                                                       -----------     ------------
Total assets                                                           $14,320,500     $14,324,066
                                                                       -----------     ------------
                                                                       -----------     ------------
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable                                                    $   503,831     $   473,514
Incentive fees payable                                                      60,570              --
Accrued expenses payable                                                    51,166          57,254
Due to affiliates                                                           34,217          74,303
Management fees payable                                                     24,722          24,772
Premiums received on options                                                19,128           7,506
                                                                       -----------     ------------
Total liabilities                                                          693,634         637,349
                                                                       -----------     ------------
Commitments
Partners' capital
Limited partners (58,640 and 60,808 units outstanding)                  13,490,442      13,549,677
General partner (593 and 615 units outstanding)                            136,424         137,040
                                                                       -----------     ------------
Total partners' capital                                                 13,626,866      13,686,717
                                                                       -----------     ------------
Total liabilities and partners' capital                                $14,320,500     $14,324,066
                                                                       -----------     ------------
                                                                       -----------     ------------
Net asset value per limited and general partnership unit ('Units')     $    230.06     $    222.83
                                                                       -----------     ------------
                                                                       -----------     ------------
---------------------------------------------------------------------------------------------------
                 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,
                                                                          -------------------------
                                                                             2001           2000
<S>                                                                       <C>             <C>
---------------------------------------------------------------------------------------------------
REVENUES
Net realized gain (loss) on commodity transactions                        $ 1,430,046     $(290,396)
Change in net unrealized gain/loss on open commodity positions               (671,255)     (204,056)
Interest from U.S. Treasury bills                                             125,171       181,473
                                                                          -----------     ---------
                                                                              883,962      (312,979)
                                                                          -----------     ---------
EXPENSES
Commissions                                                                   270,659       372,819
Management fees                                                                71,638        97,265
Incentive fees                                                                 60,570            --
General and administrative                                                     37,115        33,383
                                                                          -----------     ---------
                                                                              439,982       503,467
                                                                          -----------     ---------
Net income (loss)                                                         $   443,980     $(816,446)
                                                                          -----------     ---------
                                                                          -----------     ---------
ALLOCATION OF NET INCOME (LOSS)
Limited partners                                                          $   439,535     $(808,278)
                                                                          -----------     ---------
                                                                          -----------     ---------
General partner                                                           $     4,445     $  (8,168)
                                                                          -----------     ---------
                                                                          -----------     ---------
NET INCOME (LOSS) PER WEIGHTED AVERAGE
LIMITED AND GENERAL PARTNERSHIP UNIT
Net income (loss) per weighted average
  limited and general partnership unit                                    $      7.23     $   (9.89)
                                                                          -----------     ---------
                                                                          -----------     ---------
Weighted average number of limited
  and general partnership units outstanding                                    61,423        82,564
                                                                          -----------     ---------
                                                                          -----------     ---------
---------------------------------------------------------------------------------------------------
</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, 2000             61,423     $13,549,677     $ 137,040     $13,686,717
Net income                                                      439,535         4,445         443,980
Redemptions                                      (2,190)       (498,770)       (5,061)       (503,831)
                                               --------     -----------     ---------     -----------
Partners' capital--March 31, 2001                59,233     $13,490,442     $ 136,424     $13,626,866
                                               --------     -----------     ---------     -----------
                                               --------     -----------     ---------     -----------
-----------------------------------------------------------------------------------------------------
                  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, 2001
                                  (Unaudited)

A. General

   These financial statements have been prepared without audit. In the opinion
of Prudential Securities Futures Management Inc. (the 'General Partner'), 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, 2001 and the results of its operations for the three months ended
March 31, 2001 and 2000. 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 accounting principles generally
accepted in the United States of America 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,
2000.

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

B. Related Parties

   The General Partner is a wholly-owned subsidiary of Prudential Securities
Incorporated ('PSI'). 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,
2001 and 2000 were:

<TABLE>
<CAPTION>
                                                    2001         2000
<S>                                               <C>          <C>
-----------------------------------------------------------------------
Commissions                                       $270,659     $372,819
General and administrative                          21,841       17,319
                                                  --------     --------
                                                  $292,500     $390,138
                                                  --------     --------
                                                  --------     --------
</TABLE>

   The Partnership's assets are maintained either in trading or cash accounts
with PSI, the Partnership's commodity broker, or, 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.

C. 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 (including foreign exchange) contracts
involves entering into contractual commitments to purchase or sell a particular
commodity at a specified date and price. The gross or face

                                       4

<PAGE>
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 on United
States and 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.

   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 (except for Welton
Investment Corporation for which automatic termination relates only to a decline
from the commencement of trading activities). Furthermore, 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

                                       5

<PAGE>
('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 allowed to commingle such assets with other assets of
PSI. At March 31, 2001, such segregated assets totalled $10,356,922. 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 $3,645,332 at
March 31, 2001. There are no segregation requirements for assets related to
forward trading.

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

   At March 31, 2001 and December 31, 2000, the fair value of open futures,
forward and options contracts was:

<TABLE>
<CAPTION>
                                                 2001                          2000
                                       ------------------------     --------------------------
                                        Assets      Liabilities       Assets       Liabilities
                                       --------     -----------     ----------     -----------
<S>                                    <C>          <C>             <C>            <C>
Futures Contracts:
  Domestic exchanges
     Interest rates                    $110,439      $       --     $  342,034      $       --
     Stock indices                        8,260              --          9,940              --
     Currencies                         278,105          14,141        524,721           4,640
     Commodities                         36,693          18,714         77,160          25,700
  Foreign exchanges
     Interest rates                     111,837          33,929        259,017             493
     Stock indices                        4,934           2,416         46,489              --
     Commodities                         31,967          39,724          9,819          62,840
Forward Contracts:
     Currencies                         327,868          28,750        436,854         171,398
Options Contracts:
  Domestic exchanges
     Interest rates                          --           4,703             --           1,219
     Currencies                              --           2,325             --           1,875
     Commodities                             --           3,129             --             880
  Foreign exchanges
     Interest rates                          --           8,160             --              --
                                       --------     -----------     ----------     -----------
                                       $910,103      $  155,991     $1,706,034      $  269,045
                                       --------     -----------     ----------     -----------
                                       --------     -----------     ----------     -----------
</TABLE>

D. Financial Highlights

<TABLE>
<CAPTION>
                                                                         First Quarter 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                                            12.35
          Interest from U.S. Treasury bills                                        2.04
          Expenses                                                                (7.16)
                                                                         -------------------
          Increase for the period                                                  7.23
                                                                         -------------------
          Net asset value, end of period                                      $  230.06
                                                                         -------------------
                                                                         -------------------
        Total return                                                               3.24%
        Ratio to average net assets
          Interest income                                                          3.66%
          Expenses, including 1.77% of incentive fees                             12.86%
</TABLE>

                                       6

<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 March 31, 2001, 100% of the Partnership's total net assets was allocated
to commodities trading. A significant portion of the net asset value was held in
U.S. Treasury bills (which represented approximately 76% 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 C to the financial statements for a
further discussion of the credit and market risks associated with the
Partnership's futures, forward and options contracts.

   Redemptions by limited partners and the General Partner recorded for the
three months ended March 31, 2001 were $498,770 and $5,061, respectively, and
from commencement of operations, October 6, 1989, through March 31, 2001,
totalled $131,890,318 and $1,878,163, 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, 2001 was $230.06, an increase of
3.24% from the December 31, 2000 net asset value per Unit of $222.83. Past
performance is not necessarily indicative of future results.

   The Partnership had gross trading approximately gains/(losses) of
approximately $759,000 during the three months ended March 31, 2001 compared to
approximately $(494,000) for the corresponding period in the prior year. Due to
the nature of the Partnership's trading activities, a period to period
comparison of its trading results is not meaningful. However, a detailed
discussion of the Partnership's current quarter trading results is presented
below.

                                       7

<PAGE>
Quarterly Market Overview

   The first quarter of 2001 brought a global economic slowdown to most world
markets, characterized by negative earning reports, layoffs and low
manufacturing numbers. Investor concerns regarding earnings sparked lower equity
prices and tighter terms on credit. Consumer spending and business capital
investment decelerated markedly, partly due to decreased consumer and business
confidence. This weakening, which was especially evident in durable goods
industries, led to large cutbacks in manufacturing outputs as numerous firms
attempted to cut excess inventory. In addition, elevated energy costs drained
consumer purchasing power and added to business costs, adversely affecting
profits and stock market valuations. Except for energy prices, inflation rates
remained subdued throughout the quarter.

   In light of the rapid weakening in economic expansion in recent months and
deterioration in business and consumer confidence, the U.S. Federal Reserve
followed a relatively aggressive policy, lowering rates three times during the
first quarter of 2001. The Fed's attempt to avoid recession in the U.S. included
a surprising 50 basis point cut between regularly scheduled Federal Open Market
Committee meetings for a total 150 basis point reduction for the quarter. The
Fed saw little inflation risk due to reduced pressure on resources which stemmed
from sluggish performance of the economy and relatively subdued expectations of
inflation. Other central banks followed the Fed's lead lowering interest rates
as well. In Japan, ongoing economic weakness reinforced expectations that the
Bank of Japan (BOJ) would reinstate its zero interest rate policy. While it
stopped short of directly cutting rates, in March the BOJ announced that it
would take other measures to guide rates lower. As poor corporate earnings and
weak economic data were released throughout the quarter, investors moved assets
from equity markets to fixed income, driving bond markets higher.

   Equity markets performed poorly across the board during the first quarter as
foreign stock markets generally followed the downtrend of the U.S. markets.
Technology stocks led the way 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, and the DAX, FTSE, CAC-40 and Nikkei
experienced similar losses.

   In foreign exchange markets, the U.S. dollar rose slightly against many
foreign currencies throughout the quarter, 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 safest in this time of economic uncertainty. The
dollar also rose versus the Japanese yen throughout the quarter, reflecting
continuing economic stagnation in Japan. The euro rose against the U.S. dollar
at the beginning of the quarter as prospects for U.S. short-term economic growth
deteriorated relative to those for Europe. Later in the quarter, the euro traded
lower against the dollar as weak economic data was released in Germany and the
European Central Bank decided to leave interest rates unchanged, which dampened
the outlook for European Union growth.

   Energy prices generally remained high throughout most of the quarter. Crude
oil prices increased in January as OPEC announced a likely 5% cut in production.
In March, an agreement by OPEC members to cut production for the second time
this year was not enough to overcome concerns that slowing economies will reduce
oil consumption and prices declined slightly.

Quarterly Partnership Performance

   The following is a summary of performance for the major sectors in which the
Partnership traded:

   Currencies (+): 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. Gains were
also realized in U.S. dollar/Swiss franc cross-rate positions as the Swiss franc
weakened against the U.S. dollar during the quarter.

   Interest rates (+): Fear of a U.S. recession and falling equity prices
together with the U.S. Federal Reserve's rate reduction strategy resulted in a
flight to quality in the bond market. Bond prices soared throughout the quarter
and gains resulted from long positions in eurobonds and Japanese government
bonds.

   Stock indices (+): Weakness in the U.S. economy and negative earning reports
from blue chip and technology companies caused U.S. and foreign equity markets
to tumble throughout the quarter. Short S&P 500, London FTSE and Nikkei
positions resulted in gains.

                                       8

<PAGE>
   Energies (-): Short energy positions resulted in losses as prices generally
remained high during the first quarter of the year.

   Metals (-): Gold markets declined in March as the Bank of England's auction
of a portion of its reserves was met with a disappointing response. In addition,
signs of a global economic slowdown, which could lead to a decline in demand,
helped push gold prices lower. Long gold positions resulted in losses toward
quarter-end.

   Interest income is earned on the Partnership's investment 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 approximately $56,000 for
the three months ended March 31, 2001 compared to the same period in 2000. The
decline in interest income was the result of fewer funds being invested in U.S.
Treasury bills principally due to prior year redemptions as well as lower
interest rates during the three months ended March 31, 2001 versus the
corresponding period in 2000.

   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 $102,000 for
the three months ended March 31, 2001 as compared to the same period in 2000
principally due to the effect of prior year redemptions on the monthly net asset
values.

   All trading decisions are currently being made by Welton Investment
Corporation, Eclipse Capital Management, Inc., Trendlogic Associates, Inc. and
Appleton Capital Management ('Appleton'). 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 approximately $26,000 for the
three months ended March 31, 2001 as compared to the same period in 2000
primarily due to the decline in monthly net asset values as described in the
discussion on commissions above.

   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 to earn incentive fees of approximately $61,000 for
the three months ended March 31, 2001. No incentive fees were incurred by the
Partnership during the three months ended March 31, 2000.

   General and administrative expenses increased by approximately $4,000 for the
three months ended March 31, 2001 as compared to the same period in 2000. 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.

ITEM 3. 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.

                                       9

<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--Effective February 2001 and March 2001, respectively,
        Alan J. Brody and A. Laurence Norton, Jr. resigned as Directors of
        Prudential Securities Futures Management Inc.

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)

       (b) Reports on Form 8-K--

           No reports on Form 8-K were filed during the quarter.

                                       10

<PAGE>
                                   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 11, 2001
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     Steven Carlino
     Vice President and Treasurer

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