Skype Online authenticating proxy - 407 Proxy Authentication Required

When trying to sign in to Skype Online from the Skype for Business (2015) Control panel sitting behind an authenticating proxy you may receive the following:

You need to setup your proxy to allow the nececsary sites to be accessed without authentication.
Going through your proxy log you can see what sites are connected to.
These are the once that where accessed at my site. 

*.online.lync.com
*.microsoftonline.com

*.microsoftonline-p.net
*.microsoftonline-p.com
*.windows.net
*.office365.com
signup.microsoft.com

Yours could be different, there are quite a lot of sites and ip addresses linked with Skype Online, Office365 and Exchange Online as you can see here:

Office-365-URLs-and-IP-address-ranges

After allowing all these sites through your proxy you should be able to login to Skype Online with your tenant ID.