Extract a string that is in capitals from a cell

This is not "very simple question". Moreover, it's not obvious how would you like to have the result presented.
Lets assume, you want to have these "words" listed next to a cell with the sentence.
I prepared UDF (user defined function in VBA), which could be used for that. It's in the file and you can use it similar way, you are using standard functions. See cells B1, C1, B2, and B3:F3 in attached file.
They contain such formulas as:

Formula:

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to find first matching word within sentence, or

Formula:

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to find second one
of course one could use also

Formula:

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to find first word
etc. (in row 3 I showed use of COLUMN to automatically advance the second argument as the formula is copied right

Formula:

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The code for this function is:

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And has to be stored in code module of the file (or in code module of PERSONAL.xlsb if ypou want to use it in any file on your computer)

I need to learn that regexp thing one day, pretty powerful stuff.
A little bit to late and with simple VBA, here is my attempt:

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Edit: found bugs, fixed and reuploaded