"That" means the Faith, Paul just mentioned in the sentence. Many of my Christian Brethren could NEVER answer the fundamental question in many threads here, if YOUR Faith ISN'T a gift from God, where does it come from?
And YES, I'm fully aware that Scripture says faith comes by hearing. But that in NO way explains WHY some hear and don't have faith to believe. I have given the Gospel to many strangers, friends, and family alike. SOME believe through faith, and most don't.
So. Did YOU, using your intellect and strength dredge up out of your being the faith to believe, or did God give it to you, EXACTLY how Paul, whom God knocked off his horse and blinded, say gave it?