What's typically the loop bandwidth for the external reference on N9040B? I'm assuming the internal OCXO is locked to the external reference input with a few 10 Hz of BW?
The loop bandwidth can be adjusted using the control called "External Ref Lock BW" which should be available with your model. By default the bandwidth is set to narrow, which means that the bandwidth will be 15 Hz. For external references with superior phase noise performance, it is recommended to set the external reference phase-locked-loop bandwidth to wide, or 60 Hz. More information about this is can be found in this application note.
To answer your second question, the locking range depends on your external reference frequency (that might or might not be 10 MHz). In page 72 of the UXA specification guide, you will find that the lock range is within ±2 x 10-6 of an ideal external reference input frequency.
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