updated 02/21/2011 AT 10:00 AM ET
•originally published 02/21/2011 AT 12:00 PM ET
“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.