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That is an English language word used for several grammatical purposes. These include use as an adjective, conjunction, pronoun, adverb and intensifier; it has distance from the speaker, as opposed to words like this.
The word did not originally exist in Old English, and its concept was represented by þe. Once it came into being, it was spelt as þæt (among others, such as þet), taking the role of the modern that. It also took on the role of the modern word what, though this has since changed, and that has recently replaced some usage of the modern which.
Pronunciation of the word varies according to its role within a sentence, with a strong form, /ðæt/ and a weak form, /ðət/ .