I just got the same text message "PayPal Security Alert: Did you sign into your account at <time> <date>? If yes reply Y. If no, reply N. Msg & Data rates apply." right after I made a PayPal payment online. Since the timing between purchase and SMS is very close, I guess it comes from PayPal but I don't know if any spyware on my phone detected it. There is no info on PaylPal website about SMS being sent out after payment.
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