The spatial coupling is an efficient technique that improves the threshold of Low Density Parity Check (LDPC) codes. In this paper, we investigate the performance of the serial concatenation of Continuous phase modulation (CPM) and LDPC convolutional codes over a memoryless additive white Gaussian noise channel. We show that coupling protographs optimized for CPM improves their performance and helps designing very good 'small' protographs. Inspired from convolutional codes and thanks to the inner structure of CPM, we also introduce a new termination without rate loss but that still exhibits a coupling gain and it thus has a very good threshold. We will illustrate the behavior of different LDPC convolutional codes with different termination methods by giving some examples and studying their performance using multidimensional EXIT analysis.