"This was probably three or four months before he died". He said that his youngest daughter then pulled him up to join in, which surprised him "because she always mocks my dancing".
Barack Obama's got some "dad moves" and he's not afraid to admit it.
Obama also tells Letterman that parents who want to dance need to remember the golden rule of "staying in the pocket".
Obama's interview will run on the premiere episode of My Next Guest Needs No Introduction, which hits Netflix on January 12. "Right? You gotta stay in the pocket because I think everybody here knows dads who get out of the pocket, and they're trying stuff that they can't really pull off".
David Letterman, who said goodbye to his long-running talk show almost three years ago, is saying hello to TV again with a new show for Netflix. This will be Obama's first talk show appearance since he left office.
"You never know when you might learn something, and that's what this is about for me". The format of the Netflix appears to be quite different from what Letterman was formerly used to - showing clips of the studio interview itself, and other clips depicting Letterman's travels other places to better get to know his guests. The show will premiere on Netflix on Friday. His first late-night show was NBC's "Late Night with David Letterman" in 1982.