How to visualise a large correlation matrix?
Try this (note that I didn't add error checking, so it'll crash if your threshold removes all values). Also, I made it an absolute high pass rather than a normal high pass because I assume you'd be interested in strong negative correlation as well? If you're not, just remove the abs() in the filter function.
from numpy.random      import randn
from pandas            import DataFrame
from seaborn           import heatmap
from matplotlib.pyplot import show
from itertools         import combinations

def absHighPass(df, absThresh):
    passed = set()
    for (r,c) in combinations(df.columns, 2):
        if (abs(df.loc[r,c]) &gt;= absThresh):
            passed.add(r)
            passed.add(c)
    passed = sorted(passed)
    return df.loc[passed,passed]

labels = [chr(x) for x in range(65,91)]
corrDf = DataFrame(randn(26,26), index=labels, columns=labels).corr()

#heatmap(corrDf,cmap=&quot;YlGnBu&quot;)
heatmap(absHighPass(corrDf,0.5),cmap=&quot;YlGnBu&quot;)
show()

This is the filtered heatmap:

And this is another run but with the unfiltered heatmap: