His father converted to Catholicism while attending a catholic school:

http://www.nytimes.com/2008/02/24/opinion/24kristof.html

"Mr. Obama's late grandfather is said to have been the first person
in the area to wear Western clothes rather than just a loincloth. For
a time he converted to Christianity and adopted the family name
Johnson.

Later he converted to Islam, taking four wives. Senator Obama's
father, who apparently converted to Catholicism while attending a
Catholic school, was also polygamous in keeping with local custom,
taking an informal Kenyan wife who preceded Mr. Obama's mother but
remained a consort, according to accounts by local people and the
senator himself."

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