This is the 6th covenant that can be joined. For joining it you have to find the Rosaria Mother of Rebirth. It will be not easy. Her location is on the upper floor of the Cathedral of the Deep. At first you have to beat the boss – the Deacons of the Deep. After this you need to use the elevator to get on the cathedral top of the roof. You have to find Cathedral rafters on the ceiling. Then you must jump down to the little balcony in the hall of cathedral and again from it to the lower area. The path will lead you to the Rosaria’s room. She looks like a worm. Talk to her and she will allow you to join the covenant.