When you sync data between your Watch and iPhone for the first time, the
information is stored locally
on your iPhone. When you back up your iPhone, some of the information will sync to iCloud
(for example, if you have your Health data in iCloud); the remainder will save to either iCloud or iTunes, depending on the backup method you use.
As a result, even if you lose your iPhone, you can
restore your
Apple Watch with little to
no data loss provided you've recently backed it up and have access to your Apple ID.