Following is a quote from the developers:
At its core the Convoy system remains unchanged, convoy ships goods to
and from places automatically.
The convoy war during World War II was, in the west, one of the most
important engagements of the war. The Russians may be tempted to
disagree here, but certainly it gave Churchill sleepless nights. So we
saw our task here of how we could raise the importance of the convoy
war with out turning it into micro management hell.
At its core the Convoy system remains unchanged, convoy ships goods to
and from places automatically. They run by themselves and you don’t get
much control over them. This is basically the Hearts of Iron 2 system
dropped into Hearts of Iron 3. So I suppose you are wondering where are
the changes?
First big change is that there is now only one resource stockpile. If
you have goods abroad and you do not succeed in moving it to your home
country then they are lost. What this means in practice is if you sink
the goods, you will destroy the resources. If you cripple a country
like Britain’s merchant marine you will cripple its economy. We’ve also
done the same thing with trade. When you buy goods from a country that
is on a different continent you need to ship the goods to your country
via convoys, which are open to attack. Note that if you are landlocked
you cannot do this. Looking at it this way, if the US starts to supply
Britain with resources to continue the fight (say on credit) then these
will be able to be attacked by the Germans the U-Boat war in the North
Atlantic could become very very important.
We have mentioned previously strategic warfare can be used to force
countries to surrender. We will talk about this in more detail in a
future developer diary, but it is important to know that allowing the
enemy a free reign on your convoys will steadily undermine your will to
fight so have to defend them. So falling back on the tactic of a mass
build of convoys and then ignoring your sea-lanes will lose you the
war. If the enemy makes attempts against your convoys with submarines,
surface raiders or aircraft you can’t ignore them. What this means for
the war is if say the Germans park the Tirpitz in fjord in Norway
threatening to sortie it out against British convoys, the British
really want to keep a reasonable sized battleship force on standby to
counter this until they can find a way to sink the ship. Our whole
convoy system was aimed to try and create the correct historical effect.
So how do you defend and attack convoys? We’ll we’ve already shown
several screenshots of the convoy screen where you can see your convoys
on the map, so you know exactly where to defend. Intelligence will
allow you to identify sea zones that enemy convoys operate in, so you
can also deduce exactly where to attack. In addition you will be able
to detect enemy submarines via your listening stations. Our aim is to
make the convoy war as much an intelligence war as actual fighting.
Another aspect that impact convoys is that the amount of supplies and
fuel that can be shipped into a naval base depends on the size of that
naval base. And yes, only naval-bases can be the origin or destination
of a convoy.

