User blog comment:B214/General Discussion/@comment-29362784-20170716003011/@comment-29963364-20170716061404

I'm not sure which volume, but I know it was after Issei went with Rias to the Underworld to attend the ceremony for the Young Devil Gathering.

That was when Issei trained with Tannin, and finally attained Balance Breaker.

So maybe somewhere in Vol. 4-6.