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Your new bike definitely comes with a tool kit. Last couple of bikes and cars I've purchased have not come with Owner's Manuals, which I've had to rectify with the offending dealerships. Seems to be an epidemic of salesmen (or somebody) removing Owner's Manuals from one vehicle to give to the purchaser of the vehicle that they sold. It's a problem that seems to feed on itself.....
Someone once mentioned a set that Home Depot sold. I bought it, replaced the screwdriver with a non-racheting one, and a added a pair of pliers, and have used it several times with mine and others bikes, as well as my fiance's car. Here's a link to the set if you are interested.
+1 on the above toolket. Bought it before our trip to Milwaukee. Sure glad I did. Used it a number of times.
As for the toolkit with the Ultra, you paid for it when you bought the bike. Make sure the dealer delivers this to you also.
Part number is 94435-02B
It's the same one listed above that comes with the EG Classic. And as also mentioned, you should have gotten two soft saddlebag one one tour pak liners, and the head set kit.
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