Mount a jig hook and lay a yellow thread underbody the length of the shank. The yellow reads through the CDC once the fly is wet, on a danica imitation that warm tone is doing real work, so do not substitute a dark thread here.
Tie in a small bunch of pheasant tail barbs at the bend for the tail, about half a shank long.
Tie in the brown wire rib at the bend, then wrap a slim CDC body in mayfly yellow forward to the 70% mark. Keep it thin. A bulky CDC body drowns and this fly wants to ride high in the water column.
Counter-wrap the brown wire forward in 5-6 open turns for segmentation and to armour the CDC against trout teeth. Tie off and break the wire.
Build the thorax from natural grey CDC combined with partridge dyed yellow, wrapped or spun so the fibres splay as legs and gills.
Whip finish a small head. On the jig hook the fly rides point-up, which keeps the CDC thorax off the bottom and out of the snags.