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Way back in the stone age of my childhood, the neighborhood bakery made a very, very light rye bread. When baking rye bread today, I usually go with a medium rye, sometimes a darker rye, but this time I went the other direction. This very light rye, which reminds me of my childhood bakery, is more like a robust-flavored white bread than a standard rye.
I baked this loaf in a clay baker (like what flowerpots are made from). The idea is that you soak the clay baker in water and when you bake the bread in the closed container, the wet clay releases moisture so the bread bakes in a very steamy environment.
If you don't have a clay baker, you can bake this loaf in a cast iron dutch oven. It won't release steam, but it will retain the moisture from the bread as it bakes.
One thing to remember when using a clay baker is that you can't put it in a hot oven; it will break. Instead, put the baker in a cold oven, then turn on the heat. It goes into the oven before the dough is fully risen since it takes some time for the oven to heat and for the interior of that container to heat up.
When you take the baker out of the oven, you still have that risk of thermal shock, so don't put it on a chilly surface. A wooden cutting board, a baking rack, or a dry kitchen towel are safer than a cool counter top.