It’s the 8th covenant you are able to join. It is the last one. This covenant is located at the Anor Londo bonfire in the Irithyll of the Boreal Valley. You have to come back there where you’ve come from. Go down the stairs and come up to the brink of the bridge. There is the invisible crossing here, move straight ahead to the tower on the right side. Don’t worry you will not fall down. After this jump down to the tower and find the lady in white on the left. You need talk with her. She will allow you to join this covenant only if you have the Yuria’s quest gesture. Otherwise you must to kill the woman and then you will pick up the item of covenant.