This covenant can be discovered in the Undead Settlement.
If you haven't yet killed the Curse-rotted Greatwood:
From the Undead Settlement bonfire, work your way through the building and out into the open, then cross a bridge on the right. Break some barrels to go around the right side of the building and then climb a ladder to get onto the rooftops. Go right along the roof and drop down into a small area where a large enemy with a cage on his back is patrolling.
Approach him from behind and there will be a prompt to press "A." Do so to enter the cage and get transported to another area. Once you arrive, talk to Holy Knight Hodrick and you'll "discover" the covenant.
If you have already killed the Curse-rotted Greatwood, then the only way to discover this covenant in your current playthrough is through Sirris of the Sunless Realms' questline. Meet her in Firelink after talking to Anri at the Halfway Keep bonfire. Meet her again in Firelink after returning the Dreamchaser's Ashes to the Handmaid (found near the Old Wolf of Farron bonfire). Then use her summon sign on the bridge at the beginning of Ithiryll of the Boreal Valley and defeat Creighton. Finally, use her summon sign outside the Curse-rotted Greatwood boss area, defeat Holy Knight Hodrick, and you'll discover the covenant. Note that joining Rosaria's Fingers ends Sirris' questline.