Zugegeben nicht gerade etwas, das man jeden Tag braucht, aber falls doch...

DECLARE @s varchar(100);
SELECT @s = 'Und Was Habe Ich Damit Zu Tun?';

SELECT 
    x.OnlyInitials
FROM
    (SELECT
        SUBSTRING(@s, N.Number, 1) 
    FROM
        dbo.Number N
    WHERE 
        N.Number BETWEEN 1 AND LEN(@s) AND
        ASCII(SUBSTRING(@s, N.Number, 1)) BETWEEN 65 AND 90
        FOR XML PATH('')) AS x(OnlyInitials);

OnlyInitials
------------
UWHIDZT

(1 row(s) affected