It's quite possible your PSU is DOA: http://www.newegg.com/Product/Product.aspx?Item=N82E16817139044
"This review is from: CORSAIR AX series AX860 860W ATX12V / EPS12V SLI Ready CrossFire Ready 80 PLUS PLATINUM Certified Full Modular Active PFC Power Supply New 4th Gen CPU Certified Haswell Ready
Cons: No power at all. Bought this to upgrade the pus on a barebone - which worked. Corsair - nuthin' at all.
Other Thoughts: Last Corsair for me. Unfortunately it only takes one bad product experience."
If you have any other PSUs, or even the cash to spare to go out and pickup a super cheap one just to verify that your motherboard CAN recieve power, i'd suggest you go and do that as well. (you could likely return it back to the store if you dont destroy the packaging it comes in and repackage it nicely)