We study how exchange rate regime affects the relationship between size and composition of sovereign debt and its riskiness. Domestic and foreign sovereign debt carry different exchange rate and default risks, which depend on the exchange regime. We collect data on the 10-year government bond yields and domestic and foreign debt composition for 45 countries over the years 2004-2021. We find that higher public debt-to-GDP ratio and higher share of foreign public debt increase sovereign risk in Eurozone and economies with managed exchange rates, but they decrease sovereign risk in economies with floating exchange rates.