The Captain is the silent bodyguard of the Major, he is also a natural werewolf, able to transform at will and fight in either human or werewolf form. Just as Alucard is Hellsing's Trump card, and Alexander Anderson is Iscariot's, he could be considered Millenium's.
Powers and Stats
Tier: 8-B, likely 8-A
Name: The Captain
Powers and Abilities: Superhuman strength, speed, durability, stamina, agility and endurance, Enhanced Senses, Regeneration, Immortality (Type 3), Intangibility (Can be partially or completely intangible), Shapeshifting
Striking Strength: City Block Class
Durability: City Block level, likely Multi-City Block level (Tanks Walter's wires around his bare neck, easily survives the destruction of most of the zeppelin, takes no damage from jumping out of the zeppelin onto concrete, far stronger than Seras and Alucard)
Range: Standard melee range
Standard Equipment: The Modified Mauser C96 Pistol
Intelligence: Combat Smart
Weaknesses: For his previous weakness "Merciful on damaged enemies, secretly wants to be killed by a worthy opponent (gives Seras the weapon she needs to kill him)," that was part of the Major's plan in the story. The Captain's only weakness is silver as demonstrated when Bernadott had stab him with a silver tooth killing him.
Too fast for Alucard (who reacted to mach 33 magic bullet) and Walter
Lycanthropy: Due to his werewolf nature, The Captain possesses immense superhuman abilities, even while in human form. These include:
Superhuman Senses: He has senses of sight, smell, and hearing similar to those of an actual wolf.
Superhuman Strength: He is strong enough to bend steel bars and shatter limbs with a single kick. He was able to compete with and overwhelm Seras several times during their fight in London, in one case smashing Seras through the floor with enough power to nearly destroy her morale leaving her to state he was "Too powerful". He casually kicked away a missile that Seras tossed at him with enough force to completely bend the entire casing. He was able to kick off Alucard's head, something that not even Anderson can do with his punches.
Superhuman Speed: He can move far faster than the finest human athlete or a wolf. In Hellsing: The Dawn he was able to surprise Alucard with his massive speed and delivered a devastating kick to Alucard. Later, in London after injuring Wolfe he traveled across the city with astonishing speed appearing as a bolt of lightning.
Superhuman Reflexes: His reflexes are similarly enhanced and are much faster than those of the most physically fit human. He was able to avoid Walter's wires in The Dawn and dodge a kick from Seras traveling at high speeds just exiting a cloud of smoke.
Superhuman agility, dexterity, coordination and balance: His agility, balance, and bodily coordination are enhanced to levels that are beyond the natural physical limits of even the finest human athlete
Superhuman Durability: His iron-like flesh can withstand Walter's wires, which can easily slice solid steel, even as they are tightened around his bare neck. He seems to be able to fall great distances without sustaining any damage, as seen in chapter 58, Wizardry. He withstood a large nearby explosion from a missile that left him completely unscathed.
Superhuman Stamina: The Captain's musculature produces less fatigue toxins during physical activity than the musculature of an ordinary human, granting him superhuman levels of stamina. He can exert himself at peak capacity for several hours before fatigue begins to impair him.
Mist Form: He has the ability to take on an invulnerable and intangible mist-like form (but needs to be in his physical forms to attack).
Regenerative Healing Factor: The Captain has some regenerative ability, as he quickly regenerated his mutilated hand in The Dawn.
Shapeshifting: The Captain can turn, at will, into a half-man, half-wolf creature and a monstrous huge wolf.
Advanced combat: is a formidable hand to hand combatant with long years of experience, and an expert in the use of weapons. He also has some expertise in dealing with occult and supernatural forces. Although natural in most traits, the Doctor has apparently done some work on him to an unknown extent, due to the fact that the Captain does have the same chip inside his body that Millenium's vampires possess, which activated upon his death.