Fat deposits on the human body are stored in the form of mainly saturated fat.
When we lose weight, that fat is released and transported around the body to be burned as fuel - raising cholesterol readings as it does so.
The general advice is to expect cholesterol results to rise somewhat (varies from person to person) during weight loss, and to not worry about that rise, although so many people appear on the forum questioning such rises, that it seems most doctors have never heard of this. Cholesterol tests won't reflect the true picture of ongoing cholesterol levels until a few weeks/months after the weight loss has ended.
In effect, anyone who is losing weight is supplementing their energy deficit from saturated fat energy reserves, and it circulates as triglycerides.
Here is an excellent link to a YouTube lecture by a highly knowledgeable expert in Cholesterol, explaining what happens to cholesterol as it circulates, and the relationships between the Trigs, HDL and LDL. Also discussing the impact of different diets and different amounts of carb intake.