One theory is that the initial body was 'captured' by the sun.
(Most planets were accreted round the sun from bands of dust, like the rings around some planets. These rings got 'lumpy', and the lumps coalesced due to gravity. (Every body attracts every other body.))
But the initial direction in which a captured body (a piece of space debris) was traveling would affect its final path as the sun's gravity deflected it into orbit. Once in orbit, it would attract smaller nearby object to it, and grow in size.
Most space debris would whiz right past the sun or be pulled directly into the sun. The speed and distance from the sun would need to be just right in order for the captured body to orbit.
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