variable selection with a correlation cutoff

[#1]

I'm screening through thousands of variables and would like to only keep ones that are not very highly correlated with each other for example: r2<0.95 and >-0.95. Is there an easy way to do this? I can use: "Multivariate methods > multivariate" to calculate r2, but I have no idea how I can make the selection according to cutoff above.

[#2]

You can use the pairwise correlations report instead of the default matrix version of the report. Click the red triangle at the top and choose Pairwise Correlations. Next, right-click the new report and select Sort by Column. Select the column with the p-values. Make sure to select the order that is most useful to you (ascending or descending). Right click the report again and select Make into Data Table if you like.

[#3]

Thanks. I can filter on p-value here, but I'm not sure how I can only keep variables that are not highly correlated with each other using this table

[#4]

@Mark_Bailey suggestion will work, however, I find that doing what you are attempting can be done easily using 

     Analyze==>Screening==>Response Scrieening

It create a data table where you can sort, select, etc. the results.