Simultaneous wireless information and power transfer (SWIPT), which processes information and scavenges energy from the same ambient radio frequency signals, has recently drawn significant attention. In addition, the integration of cognitive radio and two-way relay transmission has emerged as a promising approach for improving spectral efficiency. In this paper, we consider a cognitive two-way relaying network, where the SWIPT-enabled-relay helps two secondary nodes exchange information with the energy harvested from the received signals. The rate maximization problem for the relaying network is formulated under the constraint that interference to the primary user resulting from the transmission of the secondary relaying network cannot exceed the threshold. Based on the mathematical analysis of the problem, we propose a suboptimal joint relay selection and power allocation scheme with the Bisection Search method. Numerical simulations confirm the near-optimality of the proposed scheme by comparing with the optimal solution. Specially, the best two-way relay location is also revealed in simulations.