I have premiere pro 15 build 40, however I do not see File > New > Captions
Because you don't do captions "there" any more.
Go to the Captions workspace ... that's where you now do captions. In their user guide, the section is in Graphics, Titles & Animations, then in the Captions section.
Thank you for your response.
There is no File > New > Captions in Premiere any more.
In Premiere 15 you use the Text panel (which you can open from the Window menu or you can just switch to Captions workspace as Neil advised here).
Have a look at this video:
BTW - the new captions workflow is amazing. A massive improvement over the old one. Still some weird things going on like moving individual captions horizontally but once you learn them it's so much faster. The only things they're missing is a few shortcuts like capitalising the first letters of highlighted words.