Carlos Leon with daughter Lourdes in New York
Ron Asadorian/Splash New Online
Their own relationship didn't last, but Carlos Leon found the love of his life thanks to Madonna
– their daughter Lourdes
"I'm forever grateful to [Madonna]," Leon tells PEOPLE. "I have no regrets. I wouldn't change anything. I got the best thing out of that relationship, and that's my daughter. My daughter is everything to me."
Like many smitten fathers, Leon, 44, admits he has a tough time being strict with Lourdes, now 14.
"I'm a lenient dad," says the personal trainer and actor, whose new film Immigration Tango
came out Friday. "I'm very empathetic, and I'm good at listening to my daughter … I'm probably a bad dad when it comes to disciplining her."
One area where he tends to be overly compromising? Her curfew. "I try to work with her on it," he says. "We settle on a time, say around 10 p.m., and she's like, 'How about 10:30?' And it eventually becomes 10:15."
Leon says Lourdes isn't dating yet, but knows it's coming. "I'm dreading it so much, because she's my little girl. I want her to stay young forever," he says. "I'm already overprotective, so when the time comes, I will be ready to have a talk with the guy she brings through the door. He better be ready, because I'll give him the rundown!"
For now, he and his daughter bond by going on bike rides in New York City and hanging out at home, watching movies like Harry Potter
"She loves to watch Harry Potter
. It's a favorite of hers. We can watch that 100 times – well, she can," Leon says. "Twilight
is also pretty big at our house. She likes Robert Pattinson
. She's Team Edward all the way."
Besides wizards and vampires, Lourdes loves fashion and is a budding fashionista
. She even gives Dad a few pointers.
"Sometimes she will give me a hard time about my clothes," Leon says. "I wore a pair of jeans once, and they weren't as skinny as I usually wear them, and she was like, 'Oh my God, Dad, those pants are ugly. Please change your pants.' "
He adds with a laugh: "They were too bootcut, so I changed."