"Well then, thank god you gave her a head start," he says with a grin, well aware of the innuendo. Genuinely, he's thankful that Nancy taught her that. It's the reason why Cesare is still seeing Lydia at this point. Nancy, you've helped! But he's still not taking her advice or warning. He just doesn't see the need.

"Besides, I'm teaching her." He smirks. That's half of the fun.