  The Wiener-Hopf factorization is obtained in closed form for a phase type
approximation to the CGMY L\'{e}vy process. This allows, for the approximation,
exact computation of first passage times to barrier levels via Laplace
transform inversion. Calibration of the CGMY model to market option prices
defines the risk neutral process for which we infer the first passage times of
stock prices to 30% of the price level at contract initiation. These
distributions are then used in pricing 50% recovery rate equity default swap
(EDS) contracts and the resulting prices are compared with the prices of credit
default swaps (CDS). An illustrative analysis is presented for these contracts
on Ford and GM.
