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12-28 Administration Guide
For Output Filter 2 set the Protocol Type to allow GRE as shown below.
Change Output Filter 2
Enabled: Yes
Forward: Yes
Source IP Address: 0.0.0.0
Source IP Address Mask: 0.0.0.0
Dest. IP Address: 0.0.0.0
Dest. IP Address Mask: 0.0.0.0
Protocol Type: GRE