Use Bloomberg, available in IESE Library.
Enter CSDR. Bloomberg data appears to go back to 1992 for S&P and 1999 for Moody's.
Also see the OECD Sovereign Borrowing Outlook an annual publication looking at trends and developments associated with sovereign borrowing requirements and debt levels, from the perspective of public debt managers. The Outlook provides data and information on borrowing needs and funding policies for the OECD area and other country groupings. Its coverage includes gross borrowing requirements, net borrowing requirements, central government marketable debt, funding strategies and instruments and distribution channels.
The online journal, Institutional Investor, has a biannual report on country credit ratings.
Data on country debt restructurings from 1950 to 2010 from the IMF working paper "Sovereign Debt Restructurings 1950-2010: Literature Survey, Data, and Stylized Facts" by Das, Papaioannou and Trebesch has information on country debt restructurings from 1950 to 2010 are posted on Trebesch's website, The site also has an update through 2014.
Bruegel includes sovereign bond holdings for 12 countries (Belgium, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal, Spain, UK and US). Data go back for most of the countries to the late 1990s and are mostly at a quarterly frequency.
For holdings, also useful to check central bank websites.
