If it will continue with the events of the manga, the next two arcs are "Terror of the Kraken Arc"* (chapters 35-37) in which they deal with a Kraken at Atami Sunrise Beach. It is then followed by "Academy Seven Wonders Arc" (chapters 38-49), in which the students are tasked with resolving The Seven Mysteries of True Cross Academy just in time for the upcoming True Cross Academy Festival.
[Source: Anime News Network, additional info via Blue Exorcist Wiki]
* A similar Kraken incident happened in the 2011 anime's 11th episode, which is an anime only episode.