User blog comment:B214/High School DxD EX/@comment-26527700-20160115184200

In terms of timeline placement, Azazel specifically mentions recognizing the family names of Himejima and Quarta in part 1. Assuming he wasn't talking about Himejima alone (I'm not fluent enough in Japanese to 100% certain), that would imply that it took place after volume 19. On the flip side though, Rias is still called Buchou it seems, which would rule out any chance of it happening after volume 18.