I happen to work for HMRC, i won't go into much detail. Is this your first job in the UK?. If so, it does seem they've put you on what is called "Emergency" tax code. Basically, we don't have your entire employment history and don't know what tax you've paid already.
You'll get a nice rebate in the end, which is all good. I say in the end, more like months later.
And @The fish, it's not all the time rebates are issued.