Grind all the Adobo ingredients together in a mortar and pestle or food processor to make a paste.
In a cast-iron or heavy skillet, heat ½ cup olive oil. When very hot, add annatto seeds. Turn heat to low, continue cooking, stirring frequently, for approximately 5 minutes, until oil is a rich orange-red color. Allow to cool, then strain into a clean glass container. Set aside. Discard seeds.
Whir all Sofrito ingredients in a blender until chopped.
Add 1/4 part of the sofrito with the vinegar to the adobo mixture in a bowl and blend well. Rub the mixture over the chicken pieces. Let marinate in the refrigerator overnight. Place remaining sofrito mixture in tight lidded container and refridgerate.
In a soup pot, heat the achiote oil. Add remaining 3/4 part of the sofrito. Cook for 2 minutes.
Add chicken. Cook over medium heat, stirring frequently to ensure that all the pieces of chicken are seasoned. Continue cooking a few minutes more until the chicken is opaque.
Add the white wine and tomato sauce and stir well, then add the rice, water, capers, olives, bay leaves, oregano, and salt. Return the mixture to a boil, then lower heat and simmer, covered, 20 to 25 minutes. Add salt and pepper to taste.