Correlation Matrix

Hi,

I have a large data set with many attributes
I would like to see how closely the attributes are correlated but because of the sheer number of them I'm only interested in attributes that are correlated about 40%
Is there a way to do this for example using a filter of some description. I know you can remove correlated attributes and select by weights but are not what i need as im interested in the high correlations

Thank you for your time