Jesus established it when: “He took some bread and gave thanks to God for it. Then he broke it in pieces and gave it to the disciples, saying, “This is my body, which is given for you. Do this in remembrance of me. After supper he took another cup of wine and said, “This cup is the new covenant between God and his people—an agreement confirmed with my blood, which is poured out as a sacrifice for you.” Luke 22:19-20
When we take the Holy Supper we are remembering Him, the new covenant to which we belong to; a covenant of blood.