Place the oil in the Instant Pot and select “Sauté”. Then add the onion with a little salt and black pepper for about 2-3 minutes.
Add the chicken livers and bay leaf and cook for about 2 minutes.
Add the red wine and scrape brown bits from bottom.
Select “Cancel” and stir the mixture once.
Secure the lid and turn to “Seal” position.
Cook on “Manual” with “High Pressure” for about 5 minutes.
Press “Cancel” and allow a natural release.
Remove the lid and discard the bay leaf.
Stir in anchovies and capers and with a stick blender, blend the mixture until pureed.
Stir in butter and rum and transfer into a bowl.
Refrigerate to chill before serving.