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Anacridium aegyptium
We see lots of these in Spain, up to 3 inches long, sometimes greyish-brownish, sometimes green. They are one stage (swarm) short of becoming locusts. This is an adult female judging by it's size..
Marshes near coast.
Egyptian Grasshopper and Egyptian Locust are both correct as common names. The term Locust is normally applied to Grasshoppers only when they swarm, i.e. they suddenly become very hungry and form vast feeding flocks which can devastate crops. This is actually extremely rare outside tropical Africa. In Mediterranean Europe they are generally solitary and thus the damage caused by their eating is generally negligible, although occasionally they can become a nuisance.
Thanks kozoga, I have amended the headings and added more details.