Datasource Going To Null In Gridview

I have a gridview that I bind with the result of a linq query that's in a list. In my code behind, I then bind the gridview with the list

MyGrid.DataSource = MyList;
MyGrid.DataBind();

I also have the grid with sorting enabled:

<asp: GridView..... ID="MyGrid" AllowSorting = "True" OnSorting = "SortMyGrid">

In the code behind, I have the event handler set up like this:

protected void MyGrid(object sender, GridViewSortEventArgs e)
{
var NewDataSource = from d in MyList
orderby e.SortExpression
select d;
}

Now the problem is that MyList is null when the event handler takes over! I'm tracing it and I see it loaded fine, I see the gridview on the page with the correct data but as soon as I click a column header to sort the grid, the MyList goes to null! Why?