<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 September 30, 2000

                                       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>
                                                                      September 30,     December 31,
                                                                          2000              1999
<S>                                                                   <C>               <C>
----------------------------------------------------------------------------------------------------
ASSETS
Cash                                                                   $ 3,358,441      $ 4,573,677
Net unrealized gain (loss) on open futures and options contracts          (248,933)         582,280
U.S. Treasury bills, at amortized cost                                   9,733,817       14,715,473
Net premiums paid on options                                                    --           83,238
                                                                      -------------     ------------
Total assets                                                           $12,843,325      $19,954,668
                                                                      -------------     ------------
                                                                      -------------     ------------
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Redemptions payable                                                    $   678,976      $   935,402
Net unrealized loss on open forward contracts                               80,888           59,834
Due to affiliates                                                           56,018           40,762
Accrued expenses payable                                                    45,316           60,689
Management fees payable                                                     22,124           34,924
Premiums received on options                                                10,845               --
                                                                      -------------     ------------
Total liabilities                                                          894,167        1,131,611
                                                                      -------------     ------------
Commitments
Partners' capital
Limited partners (62,912 and 81,738 units outstanding)                  11,829,568       18,634,742
General partner (636 and 826 units outstanding)                            119,590          188,315
                                                                      -------------     ------------
Total partners' capital                                                 11,949,158       18,823,057
                                                                      -------------     ------------
Total liabilities and partners' capital                                $12,843,325      $19,954,668
                                                                      -------------     ------------
                                                                      -------------     ------------
Net asset value per limited and general partnership unit ('Units')     $    188.03      $    227.98
                                                                      -------------     ------------
                                                                      -------------     ------------
----------------------------------------------------------------------------------------------------
                  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,
                                             --------------------------     --------------------------
                                                2000            1999           2000            1999
<S>                                          <C>             <C>            <C>             <C>
------------------------------------------------------------------------------------------------------
REVENUES
Net realized gain (loss) on commodity
  transactions                               $(1,262,870)    $1,827,008     $  (620,817)    $  784,809
Change in net unrealized gain/loss on
  open commodity positions                      (852,267)      (535,064)       (169,207)      (760,278)
Interest from U.S. Treasury bills                499,230        577,625         150,118        195,891
                                             -----------     ----------     -----------     ----------
                                              (1,615,907)     1,869,569        (639,906)       220,422
                                             -----------     ----------     -----------     ----------
EXPENSES
Commissions                                      957,248      1,368,779         268,371        434,730
Management fees                                  247,635        364,240          68,875        114,403
Incentive fees                                        --        180,115              --         54,589
General and administrative                       102,717        117,641          34,605         35,983
                                             -----------     ----------     -----------     ----------
                                               1,307,600      2,030,775         371,851        639,705
                                             -----------     ----------     -----------     ----------
Net loss                                     $(2,923,507)    $ (161,206)    $(1,011,757)    $ (419,283)
                                             -----------     ----------     -----------     ----------
                                             -----------     ----------     -----------     ----------
ALLOCATION OF NET LOSS
Limited partners                             $(2,894,256)    $ (159,594)    $(1,001,633)    $ (415,090)
                                             -----------     ----------     -----------     ----------
                                             -----------     ----------     -----------     ----------
General partner                              $   (29,251)    $   (1,612)    $   (10,124)    $   (4,193)
                                             -----------     ----------     -----------     ----------
                                             -----------     ----------     -----------     ----------
NET LOSS PER WEIGHTED AVERAGE LIMITED AND GENERAL
PARTNERSHIP UNIT
Net loss per weighted average limited and
  general partnership unit                   $    (39.37)    $    (1.69)    $    (15.07)    $    (4.63)
                                             -----------     ----------     -----------     ----------
                                             -----------     ----------     -----------     ----------
Weighted average number of limited
  and general partnership units
  outstanding                                     74,257         95,244          67,159         90,558
                                             -----------     ----------     -----------     ----------
                                             -----------     ----------     -----------     ----------
------------------------------------------------------------------------------------------------------
</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, 1999             82,564     $18,634,742     $ 188,315     $18,823,057
Net loss                                                     (2,894,256)      (29,251)     (2,923,507)
Redemptions                                     (19,016)     (3,910,918)      (39,474)     (3,950,392)
                                               --------     -----------     ---------     -----------
Partners' capital--September 30, 2000            63,548     $11,829,568     $ 119,590     $11,949,158
                                               --------     -----------     ---------     -----------
                                               --------     -----------     ---------     -----------
-----------------------------------------------------------------------------------------------------
                  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, 2000
                                  (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
September 30, 2000 and the results of its operations for the nine and three
months ended September 30, 2000 and 1999. 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, 1999.

New Accounting Guidance

   In June 2000, the Financial Accounting Standards Board ('FASB') issued
Statement No. 138, Accounting for Certain Derivative Instruments and Certain
Hedging Activities--an amendment of FASB Statement No. 133 ('SFAS 138'), which
became effective for the Partnership on July 1, 2000. SFAS 138 amends the
accounting and reporting standards of FASB Statement No. 133 for certain
derivative instruments and certain hedging activities. SFAS 138 has not had a
material effect on the carrying value of assets and liabilities within the
financial statements.

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 nine and three months ended
September 30, 2000 and 1999 were:

<TABLE>
<CAPTION>
                                                                             For the three months
                                          For the nine months ended                  ended
                                                September 30,                    September 30,
                                        -----------------------------      -------------------------
                                           2000               1999           2000             1999
<S>                                     <C>                <C>             <C>              <C>
                                        ------------------------------------------------------------
Commissions                             $  957,248         $1,368,779      $268,371         $434,730
General and administrative                  52,747             50,847        17,693           15,062
                                        ----------         ----------      --------         --------
                                        $1,009,995         $1,419,626      $286,064         $449,792
                                        ----------         ----------      --------         --------
                                        ----------         ----------      --------         --------
</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, executes
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.

                                       4
<PAGE>
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 transactions)
contracts involves entering into contractual commitments to purchase or sell a
particular commodity at a specified date and price. The gross or face amount of
the contracts, which is typically many times that of the Partnership's net
assets being traded, significantly exceeds the Partnership's future cash
requirements since the Partnership intends to close out its open positions prior
to settlement. As a result, the Partnership is generally subject only to the
risk of loss arising from the change in the value of the contracts. As such, the
Partnership considers the 'fair value' of its futures and forward contracts to
be the net unrealized gain or loss on the contracts. The market risk associated
with the Partnership's commitments to purchase commodities is limited to the
gross or face amount of the contracts held. However, when the Partnership enters
into a contractual commitment to sell commodities, it must make delivery of the
underlying commodity at the contract price and then repurchase the contract at
prevailing market prices. Since the repurchase price to which a commodity can
rise is unlimited, entering into commitments to sell commodities exposes the
Partnership to unlimited risk.

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

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

Credit risk

   When entering into futures, forward and options contracts, the Partnership is
exposed to credit risk that the counterparty to the contract will not meet its
obligations. The counterparty for futures and options contracts traded in the
United States and on most foreign futures and options exchanges is the
clearinghouse associated with such exchanges. In general, clearinghouses are
backed by the corporate members of the clearinghouse who are required to share
any financial burden resulting from the nonperformance by one of its 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 (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. 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

                                       5
<PAGE>
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 such trading limitations and policies)
upon the trading activities of the trading managers as it, in good faith, deems
to be in the best interests 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, 2000, such segregated assets totalled $9,847,781. 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 $2,984,699 at September
30, 2000. There are no segregation requirements for assets related to forward
trading.

   As of September 30, 2000, the Partnership's open futures, forward and options
contracts mature within one year.

   At September 30, 2000 and December 31, 1999, the fair value of open futures,
forward and options contracts was:

<TABLE>
<CAPTION>
                                                 2000                         1999
                                       ------------------------     ------------------------
                                        Assets      Liabilities      Assets      Liabilities
                                       --------     -----------     --------     -----------
<S>                                    <C>          <C>             <C>          <C>
Futures Contracts:
  Domestic exchanges
     Interest rates                    $ 49,833      $    6,844     $ 78,005      $       --
     Stock indices                           --          32,350       75,245           5,420
     Currencies                          29,450         122,091       76,089          30,830
     Commodities                         38,360         120,910       52,327          24,170
  Foreign exchanges
     Interest rates                      13,213          46,113      116,588           1,038
     Stock indices                       25,696          27,218       81,199           1,899
     Commodities                         35,601          77,050      168,686          26,889
Forward Contracts:
     Currencies                         102,467         183,355       14,912          74,746
Options Contracts:
  Domestic exchanges
     Interest rates                          --           3,125           --              --
     Stock indices                           --           3,600       95,700              --
     Currencies                              --           3,813           --              --
     Commodities                             --           8,817       13,050           1,125
                                       --------     -----------     --------     -----------
                                       $294,620      $  635,286     $771,801      $  166,117
                                       --------     -----------     --------     -----------
                                       --------     -----------     --------     -----------
</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 September 30, 2000, 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 77% 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 utilizing
stop loss provisions. 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 recorded for the nine and three months ended September 30, 2000
were and $3,910,918 and $672,204, respectively, for the limited partners and
$39,474 and $6,772, respectively, for the general partner, and from commencement
of operations, October 6, 1989, through September 30, 2000, totalled
$130,922,714 for the limited partners and $1,868,422 for the general partner.
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 September 30, 2000 was $188.03, a decrease
of 17.52% from the December 31, 1999 net asset value per Unit of $227.98 and a
decrease of 7.42% from the June 30, 2000 net asset value per Unit of $203.10.

   The Partnership had gross trading gains/(losses) of approximately
$(2,115,137) and $(790,024) during the nine and three months ended September 30,
2000, respectively, compared to $1,291,944 and $24,531 for the corresponding
periods in the prior year. Due to the nature of the Partnership's trading
activities, a period

                                       7

<PAGE>
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.

Quarterly Market Overview

   U.S. economic activity expanded at a moderate pace at the beginning of the
third quarter and showed signs of slowing down near quarter-end. Growth in
consumer spending slowed from the outsized gains earlier in the year, and sales
of new homes dropped from earlier highs. However, business spending continued to
surge and industrial production trended upward. Even though expansion in
employment slowed considerably in recent months, labor markets remained tight by
historical standards and some measures of labor compensation continued to
accelerate. The recent decrease in consumer spending resulted from moderate
growth of real disposable income in recent months coupled with dips in stock
market valuation. Nevertheless, consumer sentiment continued to be buoyant.
Consumer prices, as measured by the CPI, increased in June in response to a
surge in energy prices, but climbed only modestly in July and August.

   U.S. Treasury markets were choppy throughout the quarter but ended slightly
higher, while Japanese government bonds fell sharply on news of a 25 basis point
rate hike. The U.S. Federal Reserve Bank maintained interest rates at 6.50%
throughout the quarter due to increasing indications of a slow down in aggregate
demand and rising productivity. Conversely, there was a shift by other European
and Asian central banks toward tighter domestic monetary policy. At its monetary
policy meeting held in August, the Bank of Japan (BOJ) decided to raise rates
from 0% to 0.25%. In February 1999, the BOJ adopted a zero interest rate policy,
unprecedented both in and out of Japan, to counter the possibility of mounting
deflationary pressure and prevent further deterioration of Japan's economy. Over
the past year and a half, Japan's economy substantially improved; consequently,
the BOJ felt confident that Japan's economy had reached the stage where
deflation was no longer an immediate threat.

   The BOJ's increase in short-term interest rates in August caused the yen to
rally sharply against the British pound and U.S. dollar. The U.S. dollar was
strong against most major currencies at the beginning of the quarter. The end of
September brought a sharp reversal to this trend following intervention by the
G-7 central banks to support the euro. This move drove the euro up 5% against
the U.S. dollar and the Japanese yen. The euro surged to a high of above $0.90
after the initial wave of euro buying before settling down more than $0.02 below
its intervention peaks.

   Global equity markets experienced choppiness in July and August before
declining in September. This was due to growing concern over near record energy
costs and warnings of earning shortfalls, particularly from U.S. technology
companies.

   Energy prices continued their upward trend throughout the quarter. In August,
the American Petroleum Institute reported that crude inventories were at a
24-year low and by month's end the price per barrel had moved to over $33. On
September 22nd, the U.S. announced that it would release 30 million barrels of
oil from the U.S. strategic petroleum reserve over the next month in an effort
to cap surging energy prices; crude oil prices fell by $2 a barrel.

Quarterly Partnership Performance

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

   Interest rates (-): Losses were incurred in long domestic, Japanese and
European bond positions as the slowing global economy and an interest rate hike
by the European Central Bank resulted in choppy bond markets.

   Stock indices (-): The global economic slowdown negatively affected the major
indices. Long positions in the S&P 500, European DAX, Nikkei Dow, Nasdaq, Sydney
Futures Exchange and London FTSE resulted in losses.

   Currencies (-): Long positions in the euro, British pound, Swiss franc and
New Zealand dollar yielded losses despite a brief rally after intervention by
the European Central Bank and other G-7 central banks to boost the failing euro.
Increasing European productivity and growth coupled with rising energy prices
have been the contributing factors to weakening foreign currencies.

                                       8
<PAGE>
   Energies (-): Short light crude oil, heating oil and natural gas resulted in
losses as the energy sector continued to push prices higher driven by demand and
uncertainty regarding future production and supply levels.

   Interest income is earned on the Partnership's investments in U.S. Treasury
bills and varies monthly according to interest rates as well as the effect of
trading performance and redemptions on the level of interest-bearing funds.
Interest income from U.S. Treasury bills decreased by approximately $78,000 and
$46,000, respectively, for the nine and three months ended September 30, 2000
compared to the same periods in 1999. These declines in interest income were the
result of fewer funds being invested in U.S. Treasury bills principally due to
weak trading performance since October 1999 and redemptions. These declines were
partially offset by higher interest rates during the nine and three months ended
September 30, 2000 versus the corresponding periods in 1999.

   Commissions paid to PSI are calculated on the Partnership's net asset value
on the first day of each month and, therefore, vary monthly according to trading
performance and redemptions. Commissions decreased by approximately $412,000 and
$166,000 for the nine and three months ended September 30, 2000 as compared to
the same periods in 1999 principally due to the effect of weak trading
performance since October 1999 and redemptions on the monthly net asset values.

   All trading decisions are currently being made by Welton Investment
Corporation, Eclipse Capital Management, Inc. ('Eclipse'), Trendlogic
Associates, Inc. and Gaiacorp Ireland Limited. 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 $117,000
and $46,000 for the nine and three months ended September 30, 2000 as compared
to the same periods in 1999 due to fluctuations 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. Eclipse generated
sufficient trading profits to earn incentive fees of approximately $180,000 and
$55,000 during the nine and three months ended September 30, 1999. No incentive
fees were incurred by the Partnership during the nine and three months ended
September 30, 2000.

   General and administrative expenses decreased by approximately $15,000 and
$1,000 for the nine and three months ended September 30, 2000 as compared to the
same periods in 1999. These expenses include reimbursements of costs incurred by
the General Partner on behalf of the Partnership, in addition to accounting,
audit, tax and legal fees as well as printing and postage costs related to
reports sent to limited partners.

New Accounting Guidance

   In June 2000, FASB issued SFAS 138 which became effective for the Partnership
on July 1, 2000. SFAS 138 amends the accounting and reporting standards of FASB
Statement No. 133 for certain derivative instruments and certain hedging
activities. SFAS 138 has not had a material effect on the carrying value of
assets and liabilities within the financial statements.

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 September 2000, Eleanor L. Thomas was
                           elected by the Board of Directors as President of
                           Prudential Securities Futures Management Inc.
                           replacing Joseph A. Filicetti.

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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<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 13, 2000
     ----------------------------------------
     Steven Carlino
     Vice President and Treasurer

                                       11