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The Director of Marketing is ________ we will spread ourselves too thin by expanding into the European market.

(A) sure what

(B) sure that

(C) happy that

(D) sure which
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(A) and (D) create ungrammatical structures.
(C) is grammatical, but creates a semantic clash with "spread ... too thin", which is not a cause for happiness but a sign of danger. (Thus, "afraid that" would work.)
Only (B) works.

CJ
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Sure that

The Director of Marketing is sure that we will spread ourselves too thin by expanding into the European market.