Running Package Disappears Without A Trace

Running Package disappears without a trace.
It appears to be failing silently. It does not produce an OnError or OnTaskFailed message in the sysdtslog90 table.

The events I am logging are:
OnError
OnExecStatusChanged
OnPipelinePostEndOfRowset
OnPostExecute
OnPreExecute
OnProgress
OnQueryCancel
OnTaskFailed


The package gets executed from a web application which launches it in a new thread like this:

Package pkg;
... <Sets up pkg object>

private void RunPackage()
{
ThreadStart threadStart = new ThreadStart(PackageExecute);
Thread thread = new Thread(threadStart);

thread.Name = pkg.Name;
thread.Start();
}

private void PackageExecute()
{
try
{
pkg.Execute();
}
catch (Exception ex)
{
lblMessage.Visible = true;
lblMessage.CssClass = "ErrorMessage";
lblMessage.Text = ex.Message;
}
}


I see the PackageStart in the log and it sucessfully executes the first few tasks and then the last entry in the log is:
OnPreExecute (source=SQL Delete task, datacode=0)

Any ideas how I can troubleshoot this? I checked the event viewer on the server and it showed the Package started but that is all.

I also checked the running packages node of the Integration Services server and there was no running package.

I have SP1 installed.

Thanks.