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.
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.
