The following are the countries that MSCI/Barra has created sovereign debt indices for according to the literature I picked up at the Super Bowl of Indexing.
- UK Gilts
- New Zealand
- Czech Republic
- South Africa
Owning foreign individual bonds is just about impossible for most retail investors. Obviously ETFs are not individual bonds but they would allow do-it-yourselfers to isolate some very narrow themes that for now can't be captured.
Bond exposure to a healthy economy like Finland or Ireland, without having to study credit risk of a company, is at least intriguing. Learning about the current state of an economy like maybe Portugal or Belgium is probably easier than learning about a stock.
In a typical 70% stock 30% fixed income portfolio it would not be reckless to allocate 10% of the fixed income portion, or 3% of the whole pie, into sovereign debt of a country you are comfortable with. The bonds aren't going to zero, realistically, even if you pick poorly.