We add a regime switching dynamic, in the spirit of Pelletier (2006) markov switching conditional correlation model, to Engle and Kelly (2012) Dynamic Equicorrelation model. The DECO model decomposes the correlation matrix into blocks for which conditional correlation are equal. Correlations between blocks can be common or block-specific. Our Regime Switching Dynamic EquiCorrelation (hence RSDECO) model is therefore adequate for fitting large conditional correlations in presence of level shifts. Extensive simulations show that the RSDECO is able to reproduce the true level of correlations for a large number of variables. The estimation of daily correlations between commodity, stock and bond returns from 01/04/2000 to 12/29/2022 show significant changes in the pattern of correlations over time. The first major and significant regime change occurs around September 15, 2008. The dynamics of the correlations between the three asset classes will have become unstable after the year 2020.