Once you enter a war some of your sea transport may become endangered. This is shown on the transport screen by an orange colored slider. Endangered commodities may be intercepted by hostile fleets when you end your turn. 

Commodities are shown as endangered if there are any hostile ships patrolling or blockading outside the port the commodities originate from or outside the destination capital city port. You may choose to risk the interception of these endangered commodities or reduce your sea transport orders to avoid it. 

The overall speed and strength of your home fleet influences whether endangered commodities are in fact intercepted, and whether the fleet can defend itself if the interception does occur. 

You can also station patrolling fleets in the sea zones outside your ports to fight or drive away the intercepting enemy ships.