It means that Bernard is the Convoy Commodore and he has them sailing in big circles while he tries to make up his mind whether to go home or go on.
Wait long enough and the crews on both merchants and escorts will be too dizzy to put up an effective resistance (but watch out for the occasional "lucky shot").
Sink 'em all!
(the answer about a submarine being the lead ship in a circular convoy is correct. It is the same as the reports of neutral convoys that appear as green squares only because a neutral vessel is the leader. Most of the convoy will be [red] allied ships. Very rarely GWX will toss in a truly neutral convoy, usually 2 mercs led by an armed trawler, often around the approaches to Gibralter.)