<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 September 30, 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             (I.R.S. Employer Identification No.)
of incorporation or organization)

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>
                                                                      September 30,     December 31,
                                                                          1997              1996
<S>                                                                   <C>               <C>
----------------------------------------------------------------------------------------------------
ASSETS
Equity in commodity trading accounts:
Cash                                                                   $ 6,062,572      $ 7,947,679
U.S. Treasury bills, at amortized cost                                  23,622,209       25,015,580
Net unrealized gain on open commodity positions                          2,282,060          658,774
                                                                      -------------     ------------
Total assets                                                           $31,966,841      $33,622,033
                                                                      -------------     ------------
                                                                      -------------     ------------
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable                                                    $ 1,038,621      $ 1,692,233
Incentive fees payable                                                     177,442          657,105
Management fees payable                                                     95,865          117,811
Accrued expenses                                                            40,988           49,264
Due to affiliates                                                           39,609           54,587
Options, at market                                                          30,550           44,006
                                                                      -------------     ------------
Total liabilities                                                        1,423,075        2,615,006
                                                                      -------------     ------------
Commitments
Partners' capital
Limited partners (121,959 and 131,697 units outstanding)                30,238,305       30,696,788
General partner (1,232 and 1,331 units outstanding)                        305,461          310,239
                                                                      -------------     ------------
Total partners' capital                                                 30,543,766       31,007,027
                                                                      -------------     ------------
Total liabilities and partners' capital                                $31,966,841      $33,622,033
                                                                      -------------     ------------
                                                                      -------------     ------------
Net asset value per limited and general partnership unit ('Units')     $    247.94      $    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>
                                                     Nine Months                  Three Months
                                                 Ended September 30,           Ended September 30,
                                              -------------------------     -------------------------
                                                 1997           1996           1997           1996
<S>                                           <C>            <C>            <C>            <C>
-----------------------------------------------------------------------------------------------------
REVENUES
Net realized gain (loss) on commodity
  transactions                                $2,465,020     $  643,905     $2,938,161     $ (998,421)
Change in net unrealized gain on open
  commodity positions                          1,614,438      1,629,512      1,465,952      1,573,720
Interest from U.S. Treasury bills                913,775        824,799        318,399        280,859
                                              ----------     ----------     ----------     ----------
                                               4,993,233      3,098,216      4,722,512        856,158
                                              ----------     ----------     ----------     ----------
EXPENSES
Commissions                                    1,948,700      1,915,509        642,255        607,124
Management fees                                  838,388        802,593        286,709        253,413
Incentive fees                                   207,032         47,687        177,442             --
General and administrative                       135,033         97,583         40,286         17,553
                                              ----------     ----------     ----------     ----------
                                               3,129,153      2,863,372      1,146,692        878,090
                                              ----------     ----------     ----------     ----------
Net income (loss)                             $1,864,080     $  234,844     $3,575,820     $  (21,932)
                                              ----------     ----------     ----------     ----------
                                              ----------     ----------     ----------     ----------
ALLOCATION OF NET INCOME (LOSS)
Limited partners                              $1,845,442     $  241,064     $3,540,056     $  (21,713)
                                              ----------     ----------     ----------     ----------
                                              ----------     ----------     ----------     ----------
General partner                               $   18,638     $   (6,220)    $   35,764     $     (219)
                                              ----------     ----------     ----------     ----------
                                              ----------     ----------     ----------     ----------
NET INCOME (LOSS) PER WEIGHTED AVERAGE
LIMITED AND GENERAL PARTNERSHIP UNIT
Net income (loss) per weighted average
  limited and general partnership unit        $    14.31     $     1.54     $    28.07     $     (.15)
                                              ----------     ----------     ----------     ----------
                                              ----------     ----------     ----------     ----------
Weighted average number of limited and
  general partnership units outstanding          130,279        152,881        127,380        147,062
                                              ----------     ----------     ----------     ----------
                                              ----------     ----------     ----------     ----------
-----------------------------------------------------------------------------------------------------
</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                                         --       1,845,442          18,638       1,864,080
Redemptions                                    (9,837)     (2,303,925)        (23,416)     (2,327,341)
                                             --------     -----------     -----------     -----------
Partners' capital--September 30, 1997         123,191     $30,238,305     $   305,461     $30,543,766
                                             --------     -----------     -----------     -----------
                                             --------     -----------     -----------     -----------
-----------------------------------------------------------------------------------------------------
                   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
                               SEPTEMBER 30, 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 September 30, 1997 and the results of its operations for
the nine and three months ended September 30, 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.
 
   Effective July 1, 1997, all assets previously managed by Analytic/TSA Capital
Management ('TSA') were reallocated to Eclipse Capital Management, Inc.
('Eclipse'). Eclipse receives management fees at the same rate as did TSA (a
monthly fee on traded assets equal to a 2% annual rate). In addition, Eclipse
will earn a quarterly incentive fee equal to 20% of New High Net Trading Profits
(as defined in the Advisory Agreement between the Partnership, the General
Partner and Eclipse) as compared to 15% paid to TSA.
 
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 nine months ended September 30,
1997 and 1996 were:
 
<TABLE>
<CAPTION>
                                                     1997           1996
<S>                                               <C>            <C>
---------------------------------------------------------------------------
Commissions                                       $1,948,700     $1,915,509
General and administrative                            71,624         59,039
                                                  ----------     ----------
                                                  $2,020,324     $1,974,548
                                                  ----------     ----------
                                                  ----------     ----------
</TABLE>
 
   The costs incurred for these services for the three months ended September
30, 1997 and 1996 were:
 
<TABLE>
<CAPTION>
                                                    1997         1996
<S>                                               <C>          <C>
-----------------------------------------------------------------------
Commissions                                       $642,255     $607,124
General and administrative                          30,348       17,504
                                                  --------     --------
                                                  $672,603     $624,628
                                                  --------     --------
                                                  --------     --------
</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

                                 4
<PAGE>
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 (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
September 30, 1997 and December 31, 1996, such segregated assets totalled
$23,570,996 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 $8,380,002 and $9,271,094 at September 30,
1997 and December 31, 1996, respectively. There are no segregation requirements
for assets related to forward trading.
 
   As of September 30, 1997 and December 31, 1996, the Partnership's open
futures, forward, and options contracts mature within one year.
 <PAGE>
                                  5
<PAGE>
   At September 30, 1997 and December 31, 1996, gross contract amounts of open
futures, forward and options contracts are:
 
<TABLE>
<CAPTION>
                                        September 30,    December 31,
                                            1997             1996
                                        -------------    ------------
<S>                                     <C>              <C>
Currency Forward Contracts:
     Commitments to purchase            $  9,396,290     $27,427,116
     Commitments to sell                $ 23,668,057     $19,223,534
Currency Futures Contracts:
     Commitments to purchase            $  4,454,070     $ 7,651,893
     Commitments to sell                $  1,603,299     $15,877,256
Financial Futures and Options
  Contracts:
     Commitments to purchase            $339,392,469     $110,757,098
     Commitments to sell                $ 43,731,583     $38,688,741
Other Futures and Options Contracts:
     Commitments to purchase            $  5,967,715              --
     Commitments to sell                $  1,379,000     $   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 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 involved, 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 September 30, 1997 and December 31, 1996, the fair values of futures,
forward and options contracts were:
 
<TABLE>
<CAPTION>
                                           September 30, 1997             December 31, 1996
                                       --------------------------     --------------------------
                                               Fair Value                     Fair Value
                                       --------------------------     --------------------------
                                         Assets       Liabilities       Assets       Liabilities
                                       ----------     -----------     ----------     -----------
<S>                                    <C>            <C>             <C>            <C>
Futures Contracts:
  Domestic exchanges
     Financial                         $  178,956      $  (39,281)    $       --      $  (55,900)
     Currencies                            57,334          (7,516)       194,561         (96,820)
     Other                                197,181              --        313,497          (6,743)
  Foreign exchanges
     Financial                          1,887,935          (1,859)       316,218        (238,492)
     Other                                 62,950         (38,933)         4,092              --
Forward Contracts:
     Currencies                           151,046        (165,753)       535,753        (307,392)
Options Contracts:
  Domestic exchanges
     Financial                                 --         (30,550)            --         (10,000)
     Other                                     --              --             --         (23,168)
  Foreign exchanges
     Financial                                 --              --             --         (10,838)
                                       ----------     -----------     ----------     -----------
                                       $2,535,402      $ (283,892)    $1,364,121      $ (749,353)
                                       ----------     -----------     ----------     -----------
                                       ----------     -----------     ----------     -----------
</TABLE>

                                      6
<PAGE>
   The following table presents the average fair values of futures, forward and
options contracts during the
nine months ended September 30, 1997 and 1996, respectively.
 
<TABLE>
<CAPTION>
                                           Nine months ended              Nine months ended
                                           September 30, 1997             September 30, 1996
                                       --------------------------     --------------------------
                                           Average Fair Value             Average Fair Value
                                       --------------------------     --------------------------
                                         Assets       Liabilities       Assets       Liabilities
                                       ----------     -----------     ----------     -----------
<S>                                    <C>            <C>             <C>            <C>
Futures Contracts:
  Domestic exchanges
     Financial                         $  255,773      $  (20,324)    $  334,843      $  (67,562)
     Currencies                           256,610         (34,099)       274,254        (183,700)
     Other                                277,697         (16,819)       110,124         (43,304)
  Foreign exchanges
     Financial                            787,999        (113,382)       947,290         (51,694)
     Other                                 24,447         (12,926)         1,644          (4,434)
Forward Contracts:
     Currencies                           579,280        (672,949)       678,762        (351,167)
Options Contracts:
  Domestic exchanges
     Financial                                 --         (22,008)            --              --
     Currencies                             2,560         (42,408)        25,214          (3,239)
     Other                                 18,619          (3,271)            --              --
  Foreign exchanges
     Other                                  4,473          (5,886)            --              --
                                       ----------     -----------     ----------     -----------
                                       $2,207,458      $ (944,072)    $2,372,131      $ (705,100)
                                       ----------     -----------     ----------     -----------
                                       ----------     -----------     ----------     -----------
</TABLE>
 
      The following table presents the average fair values of futures, forward
and options contracts during the three months ended September 30, 1997 and 1996,
respectively.
 
<TABLE>
<CAPTION>
                                           Three months ended             Three months ended
                                           September 30, 1997             September 30, 1996
                                       --------------------------     --------------------------
                                           Average Fair Value             Average Fair Value
                                       --------------------------     --------------------------
                                         Assets       Liabilities       Assets       Liabilities
                                       ----------     -----------     ----------     -----------
<S>                                    <C>            <C>             <C>            <C>
Futures Contracts:
  Domestic exchanges
     Financial                         $  532,441      $  (15,336)    $   19,758      $ (163,783)
     Currencies                           118,752          (3,609)        96,848        (123,197)
     Other                                368,017         (12,916)       249,454         (24,544)
  Foreign exchanges
     Financial                          1,448,006         (27,611)     1,552,421         (34,738)
     Other                                 51,169         (25,874)         4,000            (432)
Forward Contracts:
     Currencies                           503,901        (707,965)       420,466        (297,837)
Options Contracts:
  Domestic exchanges
     Financial                                 --         (28,496)            --              --
     Currencies                             6,400          (4,044)        44,218             (78)
     Other                                 12,945          (1,088)            --              --
  Foreign exchanges
     Financial                                566            (344)            --              --
                                       ----------     -----------     ----------     -----------
                                       $3,042,197      $ (827,283)    $2,387,165      $  644,609
                                       ----------     -----------     ----------     -----------
                                       ----------     -----------     ----------     -----------
</TABLE>
 <PAGE>
                                      7
<PAGE>
      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 nine months
ended September 30, 1997 and 1996, respectively.
 
<TABLE>
<CAPTION>
                             Nine months ended September 30, 1997               Nine months ended September 30, 1996
                        -----------------------------------------------    ----------------------------------------------
                                            Change in                                          Change in
                         Net Realized     Net Unrealized                    Net Realized     Net Unrealized
                        Gains (Losses)     Gains/Losses        Total       Gains (Losses)     Gains/Losses       Total
                        --------------    --------------    -----------    --------------    --------------    ----------
<S>                     <C>               <C>               <C>            <C>               <C>               <C>
Futures Contracts:
  Domestic exchanges
    Financial             $  152,994        $  195,575      $   348,569      $  505,338        $ (665,612)     $ (160,274)
    Currencies               367,804           (47,923)         319,881         596,691           178,230         774,921
    Other                  1,075,333          (109,573)         965,760         (71,605)          454,608         383,003
  Foreign exchanges
    Financial              1,429,645         1,808,350        3,237,995        (363,635)        1,284,008         920,373
    Other                     44,459            19,925           64,384         (24,036)            9,500         (14,536)
Forward Contracts:
    Currencies              (771,022)         (243,068)      (1,014,090)        (88,470)          384,453         295,983
Options Contracts:
  Domestic exchanges
    Financial                 43,680           (27,985)          15,695              --                --              --
    Currencies               110,600                --          110,600          89,622           (15,675)         73,947
    Other                     86,823            15,733          102,556              --                --              --
  Foreign exchanges
    Financial                (75,296)            3,404          (71,892)             --                --              --
                        --------------    --------------    -----------    --------------    --------------    ----------
                          $2,465,020        $1,614,438      $ 4,079,458      $  643,905        $1,629,512      $2,273,417
                        --------------    --------------    -----------    --------------    --------------    ----------
                        --------------    --------------    -----------    --------------    --------------    ----------
</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
September 30, 1997 and 1996, respectively.
 
<TABLE>
<CAPTION>
                            Three months ended September 30, 1997              Three months ended September 30, 1996
                        ----------------------------------------------    -----------------------------------------------
                                            Change in                                         Change in
                         Net Realized     Net Unrealized                   Net Realized     Net Unrealized
                        Gains (Losses)     Gains/Losses       Total       Gains (Losses)     Gains/Losses        Total
                        --------------    --------------    ----------    --------------    --------------    -----------
<S>                     <C>               <C>               <C>           <C>               <C>               <C>
Futures Contracts:
  Domestic exchanges
    Financial             $  651,082        $ (169,975)     $  481,107      $ (853,500)       $  (77,781)     $  (931,281)
    Currencies               103,800             2,863         106,663         (83,137)           54,451          (28,686)
    Other                    642,491          (327,118)        315,373          65,789           (39,472)          26,317
  Foreign exchanges
    Financial              1,842,078         1,495,459       3,337,537         737,046         1,830,506        2,567,552
    Other                     21,050             9,767          30,817             460             7,706            8,166
Forward Contracts:
    Currencies              (364,359)          466,673         102,314        (880,534)         (194,252)      (1,074,786)
Options Contracts:
  Domestic exchanges
    Financial                 44,084              (543)         43,541              --                --               --
    Currencies                 6,000            19,404          25,404          15,455            (7,438)           8,017
    Other                      4,515           (39,033)        (34,518)             --                --               --
  Foreign exchanges
    Financial                (12,580)            8,455          (4,125)             --                --               --
                        --------------    --------------    ----------    --------------    --------------    -----------
                          $2,938,161        $1,465,952      $4,404,113      $ (998,421)       $1,573,720      $   575,299
                        --------------    --------------    ----------    --------------    --------------    -----------
                        --------------    --------------    ----------    --------------    --------------    -----------
</TABLE>
 <PAGE>
                                  8
<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.
 
   As of September 30, 1997, 100% of the Partnership's assets were allocated to
commodities trading. A significant portion of the net asset value was held in
U.S. Treasury bills (which represented approximately 75% 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, forward and options contracts.
 
   Redemptions by limited partners recorded for the nine and three months ended
September 30, 1997 were $2,303,925 and $1,028,207, respectively. Redemptions by
the General Partner recorded for the nine and three months ended September 30,
1997 were $23,416 and $10,414, respectively. Redemptions by limited partners and
the General Partner from commencement of operations, October 6, 1989, through
September 30, 1997 totalled $117,583,907 and $1,733,761, 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.
 
   Effective July 1, 1997, all assets previously managed by TSA were reallocated
to Eclipse. Eclipse receives management fees at the same rate as did TSA (a
monthly fee on traded assets equal to a 2% annual rate). In addition, Eclipse
will earn a quarterly incentive fee equal to 20% of New High Net Trading Profits
(as defined in the Advisory Agreement between the Partnership, the General
Partner and Eclipse) as compared to 15% paid to TSA.
 
Results of Operations
 
   The net asset value per Unit as of September 30, 1997 was $247.94, an
increase of 6.37%, from the December 31, 1996 net asset value per Unit of
$233.09.
 <PAGE>
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<PAGE>
   July's positive performance resulted from gains in the financial, currency,
metal and meat sectors. Positions in the index, energy, soft and grain sectors
were unprofitable. Following the Federal Reserve Chairman's generally upbeat
congressional testimony on the state of the U.S. economy, investor sentiment
soared, sending U.S. bond prices higher and the yield on the benchmark 30-year
U.S. Treasury bond down to levels not seen in 18 months. Positions in U.S.
Treasuries, Australian 10-year bonds and Eurodollar bonds resulted in strong
gains as did positions in Japanese Government bonds. In the currency sector,
strong gains were seen in German deutsche mark and Swiss franc positions as the
U.S. dollar soared in response to investors exchanging the mark and franc for
U.S. dollars. Positions in the Japanese yen and British pound were unprofitable.
In the metal sector, as the Australian central bank sold approximately 60% of
their gold reserves, prices tumbled, profiting the Partnership's short positions
in gold and silver. In the index sector, losses were seen in the Nikkei Dow and
the Australian stock index. In the energy sector, losses were incurred in light
crude oil and natural gas positions as the market failed to establish a firm
direction. Losses were experienced in the soft sector as shifting inventory
expectations and fickle weather patterns altered investor sentiment,
specifically in coffee and cocoa. In the grain sector, soybean oil positions
incurred losses as the short-term weather outlook caused fluctuations in the
market.
 
   August's negative performance resulted from losses in the currency,
financial, metal, grain, soft and meat sectors. Positions in index and energy
sectors were profitable. The currency markets proved to be a major detractor to
the Partnership's overall performance. The Deutsche mark's weakness over the
past few months, prior to August, contributed to some decent gains, but its
strength in August against several currencies, including the U.S. dollar,
Japanese yen and British pound contributed to the Partnership's negative
performance. The Swiss franc also added to the Partnership's losses as it rose
against the U.S. dollar. In the financial sector, the Partnership gave back
profits in Italian, U.S. Treasury and Euro dollar bond positions. This was due,
in part, to a faltering U.S. bond market which impacted bond markets around the
world. Losses were seen in silver and aluminum in the metal sector as well as
bean oil, sugar and cattle positions in the grain, soft and meat sectors,
respectively. The Partnership experienced gains in both domestic and global
stock indices as positions in both the S&P 500 and the Nikkei were profitable.
Specifically, short positions in the Nikkei Dow profited as the Japanese economy
failed to rebound from its current doldrums.
 
   September's positive performance resulted from gains in the financial,
energy, index and meat sectors. Positions in the metal, currency and soft
sectors were unprofitable. Performance for the month resulted, in part, from
significant gains in financial positions. The main factor for the financial
sector in September was the drop in U.S. long-term interest rates from 6.75% to
6.40%. This fall in U.S. interest rates impacted Australian, Japanese, and
European bond prices as they all trended higher, contributing to the positive
performance of the Partnership. In addition, country specific factors affected
the upward movement in global bond prices. In Europe, the anticipation still
remains that Italy and Spain will be included in the first round of the European
Monetary Union. Thus, long-term interest rates in those countries continued to
fall as their yields must eventually converge with German bond yields, the
benchmark for the bond market in Europe. The Partnership also recognized profits
in the energy sector as positions in natural gas and light crude oil 
profited partly due to increasing inventories following this 
summer's lows. In the index sector, the Partnership recognized gains 
in the Nikkei, S&P 500 and FTSE 100 as all moved in profitable 
directions. Short metal positions were unprofitable as precious 
metal prices, including gold, rose on indications of strengthening
demand. Positions in non-precious metals experienced losses as well. British
pound, Deutsche mark and Swiss franc positions were all unprofitable for the
Partnership.
 
   Interest income from U.S. Treasury bills for the nine and three months ended
September 30, 1997 increased by approximately $89,000 and $38,000, respectively,
as compared to the same periods in 1996. These increases were due to a greater
amount of funds invested in U.S. Treasury bills during the nine months ended
September 30, 1997 as compared to the same period in 1996 following a strong
1996 fourth quarter and a profitable nine months in 1997.
 
   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 increased by approximately $33,000 and $35,000 for the nine and
three months ended September 30, 1997 as compared to the same periods in 1996.
These increases principally reflect the impact of strong trading performance in
the last quarter of 1996 and a profitable nine months in 1997 on monthly net
asset values, offset by 1996 and 1997 redemptions.
 <PAGE>
                                 10
<PAGE>
   All trading decisions are currently being made by John W. Henry & Company,
Inc. ('JWH'), Welton Investment Systems Corporation ('Welton') and Eclipse
Capital Management, Inc. ('Eclipse'). 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 $36,000 and $33,000 for the nine and three months
ended September 30, 1997, respectively, as compared to the same periods in 1996
due to same reasons commissions increased as discussed above.
 
   Incentive fees are based on the New High Net Trading Profits generated by
each trading manager, as defined in the Advisory Agreements between the
Partnership, the General Partner and each trading manager. JWH, Welton and
Eclipse each generated sufficient trading profits to earn incentive fees of
$47,000, $50,000, and $110,000 for the nine months ended September 30, 1997,
respectively. With the exception of Welton, which earned incentive fees of
$30,000 during the three months ended June 30, 1997, all 1997 incentive fees
were earned during the three months ended September 30, 1997. During the nine
months ended September 30, 1996 trading performance resulted in incentive fees
of approximately $48,000 (no incentive fees were earned during the three months
ended September 30, 1996).
 
   General and administrative expenses increased by approximately $37,000 and
$23,000 for the nine and three months ended September 30, 1997 as compared to
the same periods 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. These increases were primarily due to the
timing of certain expense accruals recorded during the respective periods.
 <PAGE>
                                11
<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.
 <PAGE>
                                     12
<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: November 14, 1997
     ----------------------------------------
     Steven Carlino
     Vice President
     Chief Accounting Officer for the Registrant

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