<PAGE>   1
================================================================================


                                  UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                             WASHINGTON, D. C. 20549


                                    FORM 10-Q


[X]          QUARTERLY REPORT PURSUANT TO SECTION 13 0R 15(d) OF THE
                         SECURITIES EXCHANGE ACT OF 1934

                  FOR THE QUARTERLY PERIOD ENDED MARCH 31, 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 1-14380
                                                -------

                           CITGO PETROLEUM CORPORATION
                           ---------------------------
             (Exact name of registrant as specified in its charter)


          DELAWARE                                     73-1173881
          --------                                     ----------
(State or other jurisdiction of          (I. R. S. Employer Identification No.)
 incorporation or organization)

         ONE WARREN PLACE, 6100 SOUTH YALE AVENUE, TULSA, OKLAHOMA 74136
         ----------------------------------------------------------------
           (Address of principal executive office)           (Zip Code)

                                 (918) 495-4000
                                 --------------
              (Registrant's telephone number, including area code)


                                      N. A.
--------------------------------------------------------------------------------
              (Former name, former address and former fiscal year,
                          if changed since last report)


         Indicate by check mark whether the registrant (1) has filed all reports
required to be filed by Section 13 or 15(d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days.        Yes  X     No
                                                     ---       ---

         Indicate the number of shares outstanding of each of the issuer's
classes of common stock, as of the latest practicable date.

         COMMON STOCK, $1.00 PAR VALUE                      1,000
         -----------------------------                      -----
                  (Class)                      (outstanding at April 30, 2000)


================================================================================

<PAGE>   2




CITGO PETROLEUM CORPORATION

QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
FOR THE QUARTERLY PERIOD ENDED MARCH 31, 2000

TABLE OF CONTENTS
--------------------------------------------------------------------------------

<TABLE>
<CAPTION>

                                                                                                      PAGE
<S>      <C>                                                                                          <C>
FACTORS AFFECTING FORWARD LOOKING STATEMENTS.............................................................1

PART I.  FINANCIAL INFORMATION

 Item 1. Financial Statements (Unaudited)

         Condensed Consolidated Balance Sheets - March 31, 2000 and December 31, 1999....................2

         Condensed Consolidated Statements of Income - Three-Month Periods Ended
         March 31, 2000 and 1999.........................................................................3

         Condensed Consolidated Statement of Shareholder's Equity - Three-Month Period
         Ended March 31, 2000............................................................................4

         Condensed Consolidated Statements of Cash Flows - Three-Month Periods Ended
         March 31, 2000 and 1999.........................................................................5

         Notes to the Condensed Consolidated Financial Statements........................................6

 Item 2. Management's Discussion and Analysis of Financial Condition and
         Results of Operations..........................................................................12

 Item 3. Quantitative and Qualitative Disclosures About Market Risk.....................................15

PART II. OTHER INFORMATION

 Item 1. Legal Proceedings..............................................................................19

 Item 6. Exhibits and Reports on Form 8-K...............................................................19

SIGNATURES .............................................................................................20
</TABLE>



<PAGE>   3


                  FACTORS AFFECTING FORWARD LOOKING STATEMENTS


         This Quarterly Report on Form 10-Q contains certain "forward looking
statements" within the meaning of Section 27A of the Securities Act of 1933, as
amended, and Section 21E of the Securities Exchange Act of 1934, as amended.
Specifically, all statements under the caption "Item 2 - Management's Discussion
and Analysis of Financial Condition and Results of Operations" relating to
capital expenditures and investments related to environmental compliance and
strategic planning, purchasing patterns of refined products and capital
resources available to the Company (as defined herein) are forward looking
statements. In addition, when used in this document, the words "anticipate,"
"estimate," "prospect" and similar expressions are used to identify forward
looking statements. Such statements are subject to certain risks and
uncertainties, such as increased inflation, continued access to capital markets
and commercial bank financing on favorable terms, increases in regulatory
burdens, changes in prices or demand for the Company's products as a result of
competitive actions or economic factors and changes in the cost of crude oil,
feedstocks, blending components or refined products. Such statements are also
subject to the risks of increased costs in related technologies and such
technologies producing anticipated results. Should one or more of these risks or
uncertainties, among others, materialize, actual results may vary materially
from those estimated, anticipated or projected. Although CITGO believes that the
expectations reflected by such forward looking statements are reasonable based
on information currently available to the Company, no assurances can be given
that such expectations will prove to have been correct.


                                        1

<PAGE>   4


                         PART I - FINANCIAL INFORMATION

ITEM 1.  FINANCIAL STATEMENTS (UNAUDITED)

CITGO PETROLEUM CORPORATION
CONDENSED CONSOLIDATED BALANCE SHEETS
(DOLLARS IN THOUSANDS)
--------------------------------------------------------------------------------

<TABLE>
<CAPTION>


                                                                                         MARCH 31,      DECEMBER 31,
                                                                                           2000             1999
                                                                                        (UNAUDITED)
                                                                                        ----------------------------
<S>                                                                                     <C>             <C>
ASSETS

CURRENT ASSETS:
  Cash and cash equivalents                                                             $     21,278    $     95,780
  Accounts receivable, net                                                                 1,005,980       1,004,268
  Due from affiliates                                                                         57,129          37,860
  Inventories                                                                                914,675         953,153
  Prepaid expenses and other                                                                  13,581           7,136
                                                                                        ------------    ------------
            Total current assets                                                           2,012,643       2,098,197

PROPERTY, PLANT AND EQUIPMENT - Net                                                        2,850,697       2,877,305

RESTRICTED CASH                                                                                   --           3,015

INVESTMENTS IN AFFILIATES                                                                    714,198         734,822

OTHER ASSETS                                                                                 214,166         193,946
                                                                                        ------------    ------------

                                                                                        $  5,791,704    $  5,907,285
                                                                                        ============    ============

LIABILITIES AND SHAREHOLDER'S EQUITY

CURRENT LIABILITIES:
  Short-term bank loans                                                                 $    147,000    $     16,000
  Accounts payable                                                                           706,793         632,295
  Payables to affiliates                                                                     351,413         381,404
  Taxes other than income                                                                    201,829         218,503
  Other                                                                                      208,950         192,579
  Current portion of long-term debt                                                           47,078          47,078
  Current portion of capital lease obligation                                                 16,356          16,356
                                                                                        ------------    ------------
            Total current liabilities                                                      1,679,419       1,504,215

LONG-TERM DEBT                                                                             1,045,444       1,392,222

CAPITAL LEASE OBLIGATION                                                                      85,570          85,570

POSTRETIREMENT BENEFITS OTHER THAN PENSIONS                                                  211,782         212,871

OTHER NONCURRENT LIABILITIES                                                                 198,288         197,024

DEFERRED INCOME TAXES                                                                        538,700         521,751

MINORITY INTEREST                                                                             30,402          29,710

COMMITMENTS AND CONTINGENCIES (Note 5)

SHAREHOLDER'S EQUITY:
  Common stock - $1.00 par value, 1,000 shares authorized, issued and outstanding                  1               1
  Additional capital                                                                       1,312,616       1,312,616
  Retained earnings                                                                          692,696         654,519
  Accumulated other comprehensive income                                                      (3,214)         (3,214)
                                                                                        ------------    ------------
            Total shareholder's equity                                                     2,002,099       1,963,922
                                                                                        ------------    ------------

                                                                                        $  5,791,704    $  5,907,285
                                                                                        ============    ============
</TABLE>

See notes to condensed consolidated financial statements.


                                        2

<PAGE>   5

CITGO PETROLEUM CORPORATION
CONDENSED CONSOLIDATED STATEMENTS OF INCOME (UNAUDITED)
(DOLLARS IN THOUSANDS)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>

                                                                            THREE MONTHS
                                                                           ENDED MARCH 31,
                                                                    ---------------------------
                                                                        2000          1999
                                                                    ------------   ------------
<S>                                                                 <C>            <C>
REVENUES:
  Net sales                                                         $  4,781,794   $  2,229,816
  Sales to affiliates                                                     50,010         26,650
                                                                    ------------   ------------
                                                                       4,831,804      2,256,466
  Equity in earnings of affiliates                                        10,645          9,605
  Other income (expense) - net                                               222         (2,390)
                                                                    ------------   ------------
                                                                       4,842,671      2,263,681

COST OF SALES AND EXPENSES:
  Cost of sales and operating expenses (including purchases
     of $2,172,468 and $947,499 from affiliates)                       4,714,261      2,048,612
  Selling, general and administrative expenses                            43,167         54,161
  Interest expense, excluding capital lease                               21,086         20,361
  Capital lease interest charge                                            2,867          3,279
  Minority interest                                                          691            413
                                                                    ------------   ------------
                                                                       4,782,072      2,126,826
                                                                    ------------   ------------


INCOME BEFORE INCOME TAXES                                                60,599        136,855

INCOME TAXES                                                              22,422         50,636
                                                                    ------------   ------------

NET INCOME                                                          $     38,177   $     86,219
                                                                    ============   ============
</TABLE>

See notes to condensed consolidated financial statements.



                                        3



<PAGE>   6


CITGO PETROLEUM CORPORATION
CONDENSED CONSOLIDATED STATEMENT OF SHAREHOLDER'S EQUITY (UNAUDITED)
(DOLLARS IN THOUSANDS)
--------------------------------------------------------------------------------

<TABLE>
<CAPTION>
                                                                                           ACCUMULATED
                                                                                             OTHER
                                           COMMON STOCK         ADDITIONAL    RETAINED    COMPREHENSIVE
                                        SHARES       AMOUNT       CAPITAL     EARNINGS       INCOME         TOTAL
                                      ----------   ----------   ----------   ----------    ----------     ----------
<S>                                   <C>          <C>          <C>          <C>           <C>            <C>
BALANCE, DECEMBER 31, 1999                     1   $        1   $1,312,616   $  654,519    $   (3,214)    $1,963,922

Net Income                                    --           --           --       38,177            --         38,177
                                      ----------   ----------   ----------   ----------    ----------     ----------

BALANCE, MARCH 31, 2000                        1   $        1   $1,312,616   $  692,696    $   (3,214)    $2,002,099
                                      ==========   ==========   ==========   ==========    ==========     ==========

</TABLE>

See notes to condensed consolidated financial statements.





                                        4

<PAGE>   7

CITGO PETROLEUM CORPORATION
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED)
(DOLLARS IN THOUSANDS)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>


                                                                   THREE MONTHS
                                                                   ENDED MARCH 31,
                                                                  2000         1999
                                                               ----------    ----------
<S>                                                            <C>           <C>
CASH FLOWS FROM OPERATING ACTIVITIES                           $  169,475    $  135,357
                                                               ----------    ----------
CASH FLOWS FROM INVESTING ACTIVITIES:
  Capital expenditures                                            (26,749)      (55,355)
  Proceeds from sales of property, plant and equipment              3,735           775
  Decrease (increase) in restricted cash                            3,015          (166)
  Loans to LYONDELL-CITGO Refining LP                              (2,700)           --
  Investments in and advances to other affiliates                  (5,500)           --
                                                               ----------    ----------
            Net cash used in investing activities                 (28,199)      (54,746)
                                                               ----------    ----------

CASH FLOWS FROM FINANCING ACTIVITIES:
  Net proceeds from short-term bank loans                         131,000         3,000
  Net repayments of revolving bank loans                         (345,000)      (70,000)
  Repayments of other debt                                         (1,778)       (1,778)
                                                               ----------    ----------
            Net cash used in financing activities                (215,778)      (68,778)
                                                               ----------    ----------

(DECREASE) INCREASE IN CASH AND CASH EQUIVALENTS                  (74,502)       11,833

CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD                     95,780        30,338
                                                               ----------    ----------
CASH AND CASH EQUIVALENTS, END OF PERIOD                       $   21,278    $   42,171
                                                               ==========    ==========

SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION:
  Cash paid during the period for:
        Interest, net of amounts capitalized                   $   15,748    $   12,738
                                                               ==========    ==========
        Income taxes                                           $       31    $      456
                                                               ==========    ==========
</TABLE>


See notes to condensed consolidated financial statements.


                                        5


<PAGE>   8


CITGO PETROLEUM CORPORATION
NOTES TO THE CONDENSED CONSOLIDATED FINANCIAL STATEMENTS
(UNAUDITED)
THREE-MONTH PERIODS ENDED MARCH 31, 2000 AND 1999
--------------------------------------------------------------------------------

1.       BASIS OF PRESENTATION

         The financial information for CITGO Petroleum Corporation ("CITGO" or
         "the Company") subsequent to December 31, 1999 and with respect to the
         interim three-month periods ended March 31, 2000 and 1999 is unaudited.
         In the opinion of management, such interim information contains all
         adjustments, consisting only of normal recurring adjustments, necessary
         for a fair presentation of the results of such periods. The results of
         operations for the three-month periods ended March 31, 2000 and 1999
         are not necessarily indicative of the results to be expected for the
         full year. Reference is made to CITGO's Annual Report for the fiscal
         year ended December 31, 1999 on Form 10-K, dated March 24, 2000, for
         additional information.

         The condensed consolidated financial statements include the accounts of
         CITGO, its wholly owned subsidiaries, and Cit-Con Oil Corporation,
         which is 65 percent owned by CITGO (collectively, "the Company").

2.       INVENTORIES

         Inventories, primarily at LIFO, consist of the following:

<TABLE>
<CAPTION>

                                 MARCH 31,      DECEMBER 31,
                                   2000            1999
                                (UNAUDITED)
                                -----------     ------------
                                      (000'S OMITTED)

<S>                             <C>             <C>
Refined products                 $676,032         $747,620
Crude oil                         183,240          150,092
Materials and supplies             55,403           55,441
                                 --------         --------

                                 $914,675         $953,153
                                 ========         ========
</TABLE>


                                        6

<PAGE>   9

3.       LONG-TERM DEBT


<TABLE>
<CAPTION>


                                                                      MARCH 31,      DECEMBER 31,
                                                                        2000            1999
                                                                    (UNAUDITED)
                                                                    ------------     -----------
                                                                         (000'S OMITTED)
<S>                                                                 <C>              <C>
Revolving bank loans                                                $         --     $   345,000

Senior Notes $200 million face amount, due 2006 with
   interest rate of 7.875%                                               199,814         199,806

Private Placement Senior Notes, due 2000 to 2006 with
   interest rates from 9.03% to 9.30%                                    136,688         136,688

Master Shelf Agreement Senior Notes, due 2002 to
   2009 with interest rates from 7.17% to 8.94%                          260,000         260,000

Tax Exempt Bonds, due 2004 to 2029 with variable
   and fixed interest rates                                              305,520         305,520

Taxable Bonds, due 2026 to 2028 with variable interest rates             178,000         178,000

Cit-Con bank credit agreement                                             12,500          14,286
                                                                    ------------    ------------
                                                                       1,092,522       1,439,300
Current portion of long-term debt                                        (47,078)        (47,078)
                                                                    ------------    ------------
                                                                    $  1,045,444    $  1,392,222
                                                                    ============    ============
</TABLE>

         At March 31, 2000, the net year to date repayments on the revolving
bank loans were $345 million.

4.       INVESTMENT IN LYONDELL-CITGO REFINING LP

         LYONDELL-CITGO Refining LP ("LYONDELL-CITGO") owns and operates a 265
         MBPD refinery in Houston, Texas. LYONDELL-CITGO was formed in 1993 by
         subsidiaries of CITGO and Lyondell Chemical Company ("the Owners"). The
         heavy crude oil processed by the Houston refinery is supplied by
         Petroleos de Venezuela, S.A. ("PDVSA" which may also be used to refer
         to one or more of its subsidiaries) under a long-term crude oil supply
         contract that expires in 2017. CITGO purchases substantially all of the
         gasoline, diesel and jet fuel produced at the Houston refinery under a
         long-term contract.

         In April 1998, the crude oil supplier exercised its contractual rights
         and reduced deliveries of crude oil to LYONDELL-CITGO. LYONDELL-CITGO
         has been required to obtain alternative sources of crude oil supply in
         replacement, which has resulted in lower operating margins.

         CITGO has a 41.25% participation interest in LYONDELL-CITGO. CITGO has
         a one-time option to increase, for an additional investment, its
         participation interest to 50 percent. This option must be exercised no
         later than September 30, 2000.


                                        7

<PAGE>   10

         CITGO has notes receivable from LYONDELL-CITGO which total $31 million
         and $28 million at March 31, 2000 and December 31, 1999, respectively.
         The notes bear interest at market rates and are due July 1, 2003. These
         notes are included in other assets in the accompanying consolidated
         balance sheets.

         CITGO accounts for its investment in LYONDELL-CITGO using the equity
         method of accounting and records its share of the net earnings of
         LYONDELL-CITGO based on allocations of income agreed to by the Owners.
         Information on CITGO's investment in LYONDELL-CITGO follows:

<TABLE>
<CAPTION>

                                       MARCH 31,   DECEMBER 31,
                                         2000         1999
                                      ----------   ------------
                                      (Unaudited)
                                            (000s omitted)
<S>                                   <C>           <C>
Carrying value of investment          $  543,366    $  560,227
Notes receivable                          30,955        28,255
Participation interest                        41%           41%

Summary of financial position:
   Current assets                     $  221,890    $  219,365
   Non current assets                  1,399,162     1,405,879
   Current liabilities                   718,115       696,661
   Non current liabilities               325,302       316,492
   Member's equity                       577,635       612,091
</TABLE>

<TABLE>
<CAPTION>

                                     Three Months Ended March 31,
                                     ----------------------------
                                         2000         1999
                                      ----------   ----------
                                           (Unaudited)
<S>                                   <C>          <C>
Equity in net income                  $    6,276   $    3,591
Cash distribution received                23,137       18,393

Summary of operating results:
   Revenue                            $  859,288   $  431,750
   Gross profit                           47,873       42,248
   Net income                             21,810       14,864
</TABLE>

         LYONDELL-CITGO has arranged interim financing and repaid a $450 million
term loan that matured on May 5, 2000.


                                        8

<PAGE>   11

5.       COMMITMENTS AND CONTINGENCIES

         LITIGATION AND INJURY CLAIMS - Various lawsuits and claims arising in
         the ordinary course of business are pending against the Company. The
         Company records accruals for potential losses when, in management's
         opinion, such losses are probable and reasonably estimable. If known
         lawsuits and claims were to be determined in a manner adverse to the
         Company, and in amounts greater than the Company's accruals, then such
         determinations could have a material adverse effect on the Company's
         results of operations in a given reporting period. However, in
         management's opinion the ultimate resolution of these lawsuits and
         claims will not exceed, by a material amount, the amount of the
         accruals and the insurance coverage available to the Company. This
         opinion is based upon management's and counsel's current assessment of
         these lawsuits and claims. The most significant lawsuits and claims are
         discussed below.

         In May 1997, an explosion and fire occurred at CITGO's Corpus Christi
         refinery. No serious personal injuries were reported. CITGO received
         approximately 7,500 individual claims for personal injury and property
         damage related to the incident. Approximately 1,300 of these claims
         have been resolved for amounts which individually and collectively were
         not material. There are presently seventeen lawsuits filed on behalf of
         approximately 9,000 individuals arising out of this incident in federal
         and state courts in Corpus Christi alleging property damages, personal
         injury and punitive damages. A trial of one of the federal court
         lawsuits in October 1998 involving ten bellwether plaintiffs, out of
         approximately 400 plaintiffs, resulted in a verdict for CITGO. The
         remaining plaintiffs in this case have agreed to settle for an
         immaterial amount. Another lawsuit, involving five plaintiffs, is
         scheduled for May 2000.

         A class action lawsuit is pending in Corpus Christi, Texas state court
         against CITGO and other operators and owners of nearby industrial
         facilities which claims damages for reduced value of residential
         properties located in the vicinity of the industrial facilities as a
         result of air, soil and groundwater contamination. CITGO has contracted
         to purchase all of the 275 properties included in the lawsuit which are
         in an area adjacent to CITGO's Corpus Christi refinery and settle the
         property damage claims relating to these properties. Related to this
         purchase, $15.7 million was expensed in 1997. The trial judge recently
         ruled, over CITGO's objections, that a settlement agreement CITGO
         entered into in September 1997 and subsequently withdrew from, which
         provided for settlement of the remaining property damage claims for $5
         million is enforceable. CITGO believes this ruling is erroneous and has
         appealed. The trial against CITGO of these remaining claims has been
         postponed indefinitely. Two related personal injury and wrongful death
         lawsuits were filed against the same defendants in 1996 and are
         scheduled for trial in 2001.

         Litigation is pending in federal court in Lake Charles, Louisiana
         against CITGO by a number of current and former Lake Charles refinery
         employees and applicants asserting claims of racial discrimination in
         connection with CITGO's employment practices. The first trial in this
         case, which involved two plaintiffs, began in October 1999 and resulted
         in verdicts for the Company. The Court granted the Company's motion for
         summary judgment with respect to another group of claims; an appeal of
         this ruling is expected. Trials of the remaining cases are currently
         stayed.

         CITGO is among defendants to lawsuits in California, North Carolina,
         New York and Illinois alleging contamination of water supplies by
         methyl tertiary butyl ether ("MTBE"), a component of gasoline. The
         action in California was filed in November 1998 by the South Tahoe
         Public Utility District and CITGO was added as a defendant in February
         1999. The North Carolina case, filed in January 1999, and the New York
         case, filed in January 2000 are putative class actions on behalf of

                                        9

<PAGE>   12
         owners of water wells and other drinking water supplies in such states.
         The Illinois class action, filed in April 2000, purports to be on
         behalf of well owners in sixteen states. All of these actions allege
         that MTBE poses public health risks. The suits seek damages as well as
         remediation of the alleged contamination. These matters are in early
         stages of discovery. CITGO has denied all of the allegations and is
         pursuing its defenses.

         ENVIRONMENTAL COMPLIANCE AND REMEDIATION - CITGO is subject to various
         federal, state and local environmental laws and regulations which may
         require CITGO to take action to correct or improve the effects on the
         environment of prior disposal or release of petroleum substances by
         CITGO or other parties. Management believes the Company is in
         compliance with these laws and regulations in all material aspects.
         Maintaining compliance with environmental laws and regulations in the
         future could require significant capital expenditures and additional
         operating costs.

         CITGO's accounting policy establishes environmental reserves as
         probable site restoration and remediation obligations become reasonably
         capable of estimation. Based on currently available information,
         including the continuing participation of former owners in remediation
         actions and indemnification agreements with third parties, CITGO
         believes that its accruals are sufficient to address its environmental
         clean-up obligations.

         The Texas Natural Resources Conservation Commission ("TNRCC") conducted
         an environmental compliance review at the Corpus Christi refinery in
         the first and second quarters of 1998. In January 1999, the TNRCC
         issued the Company a Notice of Violation ("NOV") arising from this
         review and in October 1999 proposed fines of approximately $1.6 million
         related to the NOV. Most of the alleged violations refer to
         recordkeeping and reporting issues, failure to keep proper records,
         failure to meet required emission levels, and failure to properly
         monitor emissions. TNRCC issued the Company another NOV in December
         1999 based on its 1999 audits which cites items similar to items cited
         earlier and the agency has tentatively suggested that the two audits
         should be combined for resolution. The Company intends to vigorously
         protest the alleged violations and proposed fines.

         In June 1999, CITGO and numerous other industrial companies received
         notice from the U.S. Environmental Protection Agency ("EPA") that the
         EPA believes these companies have contributed to contamination in the
         Calcasieu Estuary, in the proximity of Lake Charles, Calcasieu Parish,
         Louisiana and are Potentially Responsible Parties ("PRPs") under the
         Comprehensive Environmental Response, Compensation, and Liability Act
         ("CERCLA"). The EPA made a demand for payment of its past investigation
         costs from CITGO and other PRPs and advised it intends to conduct a
         Remedial Investigation/Feasibility Study ("RI/FS") under its CERCLA
         authority. CITGO and other PRPs may be potentially responsible for the
         costs of the RI/FS. CITGO disagrees with the EPA's allegations and
         intends to contest this matter.

         In October 1999, the EPA issued a NOV to CITGO for violations of
         federal regulations regarding reformulated gasoline found during a May
         1998 inspection at CITGO's Braintree, Massachusetts terminal and
         recommended a penalty of $218,500. The Company intends to vigorously
         contest the proposed fines and allegations.

         Conditions which require additional expenditures may exist with respect
         to various Company sites including, but not limited to, CITGO's
         operating refinery complexes, closed refineries, service stations and
         crude oil and petroleum product storage terminals. The amount of such
         future expenditures, if any, is indeterminable.

         DERIVATIVE COMMODITY AND FINANCIAL INSTRUMENTS - CITGO enters into
         petroleum futures contracts, options and other over-the-counter
         commodity derivatives, primarily to reduce its inventory exposure to
         market risk. Such contracts are generally entered into through major
         brokerage houses and traded on national exchanges and can be settled in
         cash or through delivery of the commodity. Such contracts generally
         qualify for hedge accounting and correlate to market price movements of
         crude oil and refined products. Resulting gains and losses on such
         contracts, therefore, will generally be offset by gains and losses on
         CITGO's hedged inventory or future purchases and sales. In the
         three-month period ended March 31, 2000, there was no non-hedging
         activity.

         CITGO has only limited involvement with other derivative financial
         instruments and does not currently use them for trading purposes. CITGO
         has entered into various interest rate swaps to manage its risk related
         to interest rate changes on its debt. The fair value of the interest
         rate swap agreements in place at March 31, 2000, based on the estimated
         amount that CITGO would receive or pay to terminate the agreements as
         of that date and taking into account current interest rates, was an
         unrealized loss of $1 million. In connection with the determination of
         fair market value, the Company considers the creditworthiness of the
         counterparties, but no adjustment was determined to be necessary as a
         result.

         The impact of these instruments on cost of sales and operating expenses
         and pretax earnings was immaterial for all periods presented.
         Management considers the market risk to the Company related to these
         instruments to be insignificant during the periods presented.

                                       10

<PAGE>   13

6.       RELATED PARTY TRANSACTIONS

         CITGO's largest supplier of crude oil is PDVSA. CITGO has entered into
         long-term crude oil supply agreements with PDVSA with respect to the
         crude oil requirements for each of CITGO's refineries. These crude oil
         supply agreements contain force majeure provisions which entitle the
         supplier to reduce the quantity of crude oil and feedstocks delivered
         under the crude supply agreements under specified circumstances. As of
         March 31, 2000, PDVSA's deliveries of crude oil to CITGO were less than
         contractual base volumes due to PDVSA's declaration of force majeure
         pursuant to all of the long-term crude oil supply contracts related to
         CITGO's refineries. Therefore, the Company has been required to use
         alternative sources of crude oil. As a result, CITGO estimates that
         crude oil costs in the three months ended March 31, 2000 were higher by
         $5 million than what would have otherwise been the case. It is not
         possible to forecast future financial impacts of these reductions in
         crude oil deliveries on CITGO's costs because the correlation between
         crude oil and refined product prices is not constant over time.
         Additionally, because of numerous factors, including unpredictable
         changes in crude oil economics, the duration of the force majeure
         cannot be forecasted.

         These contracts also contain provisions which entitle the supplier to
         reduce the quantity of crude oil and feedstocks delivered under the
         crude supply agreements and oblige the supplier to pay CITGO the deemed
         margin under that contract for each barrel of reduced crude oil and
         feedstocks. During the three months ended March 31, 2000, PDVSA did not
         deliver naphtha pursuant to two of the contracts and, as a result,
         naphtha costs, net of deemed margin, were higher by $1 million than
         what would have otherwise been the case.

                                       11

<PAGE>   14


ITEM 2.  MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS
         OF OPERATIONS

OVERVIEW

         The following discussion of the financial condition and results of
operations of CITGO should be read in conjunction with the unaudited condensed
consolidated financial statements of CITGO included elsewhere herein. Reference
is made to CITGO's Annual Report for the fiscal year ended December 31, 1999 on
Form 10-K, dated March 24, 2000, for additional information and a description of
factors which may cause substantial fluctuations in the earnings and cash flows
of CITGO.

         In the first quarter ended March 31, 2000, CITGO generated net income
of $38.2 million on revenue of $4.8 billion compared to net income of $86.2
million on revenues of $2.3 billion for the same period last year. Gross margin
for the first quarter of 1999 benefited from the sale of inventories that were
written down by $159 million at December 31, 1998, to reflect market prices at
that time.(See "Gross margin").

RESULTS OF OPERATIONS

         The following table summarizes the sources of CITGO's sales revenues
and sales volumes for the three-month periods ended March 31, 2000 and 1999:


                        CITGO SALES REVENUES AND VOLUMES

<TABLE>
<CAPTION>

                                                    THREE MONTHS        THREE MONTHS
                                                   ENDED MARCH 31,      ENDED MARCH 31,
                                                -------------------   -------------------
                                                  2000       1999       2000      1999
                                                --------   --------   --------   --------
                                                  ($ in millions)        (MM gallons)
<S>                                             <C>        <C>        <C>        <C>
Gasoline                                        $  2,655   $  1,256      3,141      3,101
Jet fuel                                             494        191        611        536
Diesel/#2 fuel                                     1,094        452      1,380      1,309
Asphalt                                               47         26         77         70
Petrochemicals and industrial products               391        196        386        577
Lubricants and waxes                                 115        119         56         68
                                                --------   --------   --------   --------
        Total refined product sales                4,796      2,240      5,651      5,661
Other sales                                           36         16
                                                --------   --------   --------   --------
        Total sales                             $  4,832   $  2,256      5,651      5,661
                                                ========   ========   ========   ========
</TABLE>

                                       12



<PAGE>   15


         The following table summarizes CITGO's cost of sales and operating
expenses for the three-month periods ended March 31, 2000 and 1999:

                   CITGO COST OF SALES AND OPERATING EXPENSES
<TABLE>
<CAPTION>


                                                                       THREE MONTHS
                                                                      ENDED MARCH 31,
                                                                    -------------------
                                                                      2000      1999
                                                                    --------   --------
                                                                      ($ in millions)

<S>                                                                 <C>        <C>
Crude oil                                                           $  1,126   $    443
Refined products                                                       2,884      1,289
Intermediate feedstocks                                                  277        122
Refining and manufacturing costs                                         208        193
Other operating costs, expenses and inventory changes (1)                219          2
                                                                    --------   --------
       Total cost of sales and operating expenses                   $  4,714   $  2,049
                                                                    ========   ========
</TABLE>


(1)  The three months ended March 31, 1999, includes the impact of the inventory
     valuation reserve of $159 million recorded at December 31, 1998. See "Gross
     Margin".

         Sales revenues and volumes. Sales increased $2.6 billion, or
approximately 114%, in the three-month period ended March 31, 2000 as compared
to the same period in 1999. This was due to an increase in average sales price
of 115% and a decrease in sales volume of less than 1%. (See CITGO Sales
Revenues and Volumes table above.)

         Equity in earnings of affiliates. Equity in earnings of affiliates
increased by $1 million for the three-month period ended March 31, 2000 as
compared to the same period in 1999. The increase was primarily due to the
change in the earnings of LYONDELL-CITGO. CITGO's share of these earnings
increased $2 million, from $4 million in the first three months of 1999 to $6
million in the first three months of 2000.

         Cost of sales and operating expenses. Cost of sales and operating
expenses increased by $2.7 billion or 130%, in the quarter ended March 31, 2000
as compared to the same period in 1999. (See CITGO Cost of Sales and Operating
Expenses table above.)

         CITGO purchases refined products to supplement the production from its
refineries to meet marketing demands and resolve logistical issues. Refined
product purchases represented 61% and 63% of total cost of sales and operating
expenses for the first quarters of 2000 and 1999, respectively. CITGO estimates
that margins on purchased products, on average, are lower than margins on
produced products due to the fact that CITGO can only receive the marketing
portion of the total margin received on the produced refined products. However,
purchased products are not segregated from CITGO produced products and margins
may vary due to market conditions and other factors beyond the Company's
control. As such, it is difficult to measure the effects on profitability of
changes in volumes of purchased products. In the near term, other than normal
refinery turnaround maintenance, CITGO does not anticipate operational actions
or market conditions which might cause a material change in anticipated
purchased product requirements; however, there could be events beyond the
control of CITGO which impact the volume of refined products purchased. See also
"Factors Affecting Forward Looking Statements.

                                       13

<PAGE>   16


         Gross margin. The gross margin for the three-month period ended March
31, 2000 was approximately 2.1 cents per gallon, compared to approximately 3.7
cents per gallon for the same period in 1999. In the three-month period ended
March 31, 2000, the revenue per gallon component increased approximately 115%
while the cost per gallon component increased approximately 130%. As a result,
the gross margin decreased approximately 1.6 cents on a per gallon basis in the
quarter ended March 31, 2000 compared to the same period in 1999. Inventories at
December 31, 1998 had been revalued resulting in a charge of $159 million to the
results of operations for the year 1998. The sale of these revalued inventories
during the first quarter of 1999 is the principal factor in the higher gross
margins realized during the first quarter of 1999. At March 31, 2000 and 1999
estimated net market values of inventories exceeded historical cost, and
accordingly, no valuation reserve was necessary.

         Selling, general and administrative expenses. Selling, general and
administrative expenses decreased in the first quarter of 2000 by 20%, from $54
million in the first quarter of 1999 to $43 million in the first quarter of
2000. The decrease is principally due to the write-off of the bad debt reserve
related to credit card receivables. The write-off was in connection with the
sale of CITGO's proprietary consumer credit card receivables and related credit
card program on March 1, 2000 as described below.

LIQUIDITY AND CAPITAL RESOURCES

         For the three-month period ended March 31, 2000, the Company's
consolidated net cash provided by operating activities totaled approximately
$169 million. Operating cash flows were derived from net income of $38 million,
depreciation and amortization of $59 million, and changes in other assets and
liabilities of $72 million.

         Net cash used in investing activities totaled $28 million for the
three-month period ended March 31, 2000 consisting primarily of capital
expenditures of $27 million (compared to $55 million for the same period in
1999). The decline in capital expenditures in the first quarter of 2000 compared
to the first quarter of 1999 is due primarily to projects which are progressing
more slowly than anticipated and projects which had to be postponed when the
turnarounds with which they were associated were postponed.

         Net cash used in financing activities totaled $216 million for the
three-month period ended March 31, 2000 consisting primarily of $345 million net
repayment on revolving bank loans partially offset by proceeds from short-term
borrowings of $131 million.

         As of March 31, 2000, capital resources available to the Company
include cash generated by operations, available borrowing capacity under CITGO's
committed bank facilities of $550 million and $53 million of uncommitted
short-term borrowing facilities with various banks. Additionally, the remaining
$400 million from CITGO's shelf registration with the Securities and Exchange
Commission for $600 million of debt securities may be offered and sold from time
to time. CITGO management believes that the Company has sufficient capital
resources to carry out planned capital spending programs, including regulatory
and environmental projects in the near term, and to meet currently anticipated
future obligations as they arise. CITGO periodically evaluates other sources of
capital in the marketplace and anticipates that long-term capital requirements
will be satisfied with current capital resources and future financing
arrangements, including the issuance of debt securities. The Company's

                                       14

<PAGE>   17


ability to obtain such financing will depend on numerous factors, including
market conditions and the perceived creditworthiness of the Company at that
time.

         On March 1, 2000, CITGO sold its proprietary consumer credit card
receivables and related credit card program to Associates First Capital
Corporation ("Associates"). In this transaction, Associates acquired
approximately $19 million in receivables from CITGO and $113 million from Royal
Bank of Canada which had previously been purchased from CITGO under a revolving
sale facility. In addition, Associates acquired 1.2 million active consumer
accounts. The sale did not affect CITGO's commercial or fleet credit card
programs.

         The Company is in compliance with its obligations under its debt
financing arrangements at March 31, 2000.

NEW ACCOUNTING STANDARD

         In June 1998, the Financial Accounting Standards Board issued Statement
of Financial Accounting Standards No. 133, "Accounting for Derivative
Instruments and Hedging Activities" ("SFAS No. 133"). The statement establishes
accounting and reporting standards for derivative instruments and for hedging
activities. It requires that an entity recognize all derivatives, at fair value,
as either assets or liabilities in the statement of financial position with an
offset either to shareholder's equity and comprehensive income or income
depending upon the classification of the derivative. CITGO has not determined
the impact on its financial statements that may result from adoption of SFAS No.
133, which is required no later than January 1, 2001.


ITEM 3.  QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

         Introduction. CITGO has exposure to price fluctuations of crude oil and
refined products as well as fluctuations in interest rates. To manage these
exposures, management has defined certain benchmarks consistent with its
preferred risk profile for the environment in which the Company operates and
finances its assets. CITGO does not attempt to manage the price risk related to
all of its inventories of crude oil and refined products. As a result, at March
31, 2000, CITGO was exposed to the risk of broad market price declines with
respect to a substantial portion of its crude oil and refined product
inventories. The following disclosures do not attempt to quantify the price risk
associated with such commodity inventories.

         Commodity Instruments. CITGO balances its crude oil and petroleum
product supply/demand and manages a portion of its price risk by entering into
petroleum commodity derivatives. Generally, CITGO's risk management strategies
qualify as hedges, however, certain strategies that CITGO may use on commodity
positions do not qualify as hedges.

                                       15

<PAGE>   18


                        NON TRADING COMMODITY DERIVATIVES
                        OPEN POSITIONS AT MARCH 31, 2000

<TABLE>
<CAPTION>

                                                                         MATURITY     NUMBER OF      CONTRACT   MARKET
       COMMODITY                           DERIVATIVE                      DATE       CONTRACTS      VALUE (2)  VALUE
       ---------                           ----------                      ----       ---------      ---------  -----
                                                                                                      ($ in millions)
                                                                                                     -------------------
<S>                       <C>                                            <C>          <C>            <C>        <C>
No Lead Gasoline (1)      Futures Purchased                                2000           69         $  2.5     $  2.5
                          Futures Sold                                     2000           60         $  2.1     $  2.2
                          OTC Swap Options Purchased                       2000        1,500         $ (0.5)    $   --
                          OTC Swap Options Sold                            2000        1,500         $  0.5     $ (0.1)
                          OTC Swaps (Pay Floating/Receive Fixed)(4)        2000          500         $ 14.0     $ 16.6

Heating Oil (1)           Futures Purchased                                2000           71         $  1.8     $  2.0
                          Futures Purchased                                2001           19         $  0.5     $  0.5
                          Futures Sold                                     2000           75         $  2.4     $  2.5
                          OTC Swaps (Pay Floating/Receive Fixed)(4)        2000          400         $  9.7     $ 11.5
                          OTC Swaps (Pay Fixed/Receive Floating)(4)        2000           10         $  0.2     $  0.3

Crude Oil (1)             OTC Swaps (Pay Fixed/Receive Floating)(4)        2000          900         $ 21.0     $ 23.8

Natural Gas (3)           Futures Purchased                                2000           15         $  0.4     $  0.4
</TABLE>

----------------------------

(1) 1000 barrels per contract

(2) Weighted average price

(3) 10,000 mmbtu per contract

(4) Floating price based on market index designated in contract; fixed price
    agreed upon at date of contract.



                        NON TRADING COMMODITY DERIVATIVES
                        OPEN POSITIONS AT MARCH 31, 1999

<TABLE>
<CAPTION>


                                              MATURITY     NUMBER OF        CONTRACT    MARKET
       COMMODITY            DERIVATIVE          DATE       CONTRACTS        VALUE (2)    VALUE
       ---------            ----------          ----       ---------        ---------    -----
                                                                              ($ in millions)
                                                                            ---------------------
<S>                       <C>                 <C>          <C>              <C>         <C>
No Lead Gasoline (1)      Futures Purchased     1999            44           $  1.0      $  1.0
                          Futures Sold          1999            25           $  0.5      $  0.5

Heating Oil (1)           Futures Purchased     1999           117           $  2.4      $  2.2
                          Futures Sold          1999            25           $  0.4      $  0.5
                          OTC Caps Purchased    1999            60           $   --      $   --

Natural Gas (3)           Futures Purchased     1999           150           $  2.9      $  3.2
</TABLE>
----------------------

(1) 1000 barrels per contract

(2) Weighted average price

(3) 10,000 mmbtu per contract


                                       16


<PAGE>   19


         Debt Related Instruments. CITGO has fixed and floating U.S. currency
denominated debt. CITGO uses interest rate swaps to manage its debt portfolio
toward a benchmark of 40 to 60 percent fixed rate debt to total fixed and
floating rate debt. These instruments have the effect of changing the interest
rate with the objective of minimizing CITGO's long-term costs. At March 31,
2000, CITGO's primary exposures were to U.S. dollar, LIBOR and U.S. Treasury
rates.

         For interest rate swaps, the table below presents notional amounts and
interest rates by expected (contractual) maturity dates. Notional amounts are
used to calculate the contractual payments to be exchanged under the contracts.

                      NON TRADING INTEREST RATE DERIVATIVES
                    OPEN POSITIONS AT MARCH 31, 2000 AND 1999

<TABLE>
<CAPTION>
                                                              NOTIONAL
                             EXPIRATION      FIXED RATE       PRINCIPAL
 VARIABLE RATE INDEX            DATE            PAID           AMOUNT
 -------------------            ----            ----           ------
                                                           ($ in millions)
<S>                         <C>              <C>           <C>
One-month LIBOR             May 2000            6.28%       $     25
J.J. Kenny                  May 2000            4.72%             25
J.J. Kenny                  February 2005       5.30%             12
J.J. Kenny                  February 2005       5.27%             15
J.J. Kenny                  February 2005       5.49%             15
                                                            --------
                                                            $     92
                                                            ========
</TABLE>


         The fair value of the interest rate swap agreements in place at March
31, 2000, based on the estimated amount that CITGO would receive or pay to
terminate the agreements as of that date and taking into account current
interest rates, was an unrealized loss of $1 million.

                                       17


<PAGE>   20

         For debt obligations, the table below presents principal cash flows and
related weighted average interest rates by expected maturity dates. Weighted
average variable rates are based on implied forward rates in the yield curve at
the reporting date.

                                DEBT OBLIGATIONS
                               AT MARCH 31, 2000

<TABLE>
<CAPTION>
                                                                        EXPECTED
                           FIXED     AVERAGE FIXED       VARIABLE    AVERAGE VARIABLE
EXPECTED MATURITIES      RATE DEBT   INTEREST RATE       RATE DEBT    INTEREST RATE
-------------------      ---------   -------------       ---------    -------------
                     ($ in millions)                 ($ in millions)
<S>                      <C>         <C>                 <C>            <C>
      2000               $    40          9.11%          $   152           7.17%
      2001                    40          9.11%                7           7.54%
      2002                    36          8.78%               --           8.20%
      2003                    61          8.79%               --           8.54%
      2004                    31          8.02%               16           8.71%
Thereafter                   391          8.02%              465           9.32%
                         -------       -------           -------        -------
Total                    $   599          8.29%          $   640           8.77%
                         =======       =======           =======        =======

Fair Value               $   599                         $   640
                         =======                         =======
</TABLE>




                                DEBT OBLIGATIONS
                                AT MARCH 31, 1999


<TABLE>
<CAPTION>

                                                                                EXPECTED
                                FIXED       AVERAGE FIXED    VARIABLE       AVERAGE VARIABLE
  EXPECTED MATURITIES         RATE DEBT     INTEREST RATE    RATE DEBT       INTEREST RATE
  -------------------         ---------     -------------    ---------       --------------
                           ($ in millions)                 ($ in millions)
<S>                           <C>           <C>              <C>             <C>
          1999                 $  40           9.11%           $  45           6.25%
          2000                    40           9.11%               7           6.34%
          2001                    40           9.11%               7           6.76%
          2002                    36           8.78%              --           7.18%
          2003                    61           8.79%              95           7.59%
       Thereafter                422           8.02%             481           9.58%
                               -----           ----            -----           ----
         Total                 $ 639           8.34%           $ 635           8.98%
                               =====           ====            =====           ====

       Fair Value              $ 616                           $ 635
                               =====                           =====
</TABLE>



                                       18




<PAGE>   21


                           PART II. OTHER INFORMATION


ITEM 1.  LEGAL PROCEEDINGS

         The required information is incorporated by reference into Part II of
this Report from Note 5 of the Notes to the Condensed Consolidated Financial
Statements included in Part I of this Report.








ITEM 6.  EXHIBITS AND REPORTS ON FORM 8-K



      (a)         Exhibits

                  Exhibit No.             Description
                  -----------             -----------
                      27           Financial Data Schedule (filed
                                   electronically only)

      (b)         Reports on Form 8-K:

                           None.

                                       19

<PAGE>   22


                                   SIGNATURES



         Pursuant to the requirements of the Securities Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.



                           CITGO PETROLEUM CORPORATION







Date:   May 9, 2000                   /s/ R. M. Bright
                                  ------------------------------------
                                          R. M. Bright
                                 Controller (Chief Accounting Officer)


                                       20
<PAGE>   23

                                 EXHIBIT INDEX

<TABLE>
<CAPTION>

Exhibit No.             Description
-----------             -----------
<S>            <C>
  27           Financial Data Schedule (filed electronically only)
</TABLE>