Abstract: Compared with traditional re-insurance, catastrophe bonds have obvious advantages in payment protection and risk dispersion, and are an alternative risk transfer arrangement that can connect insurance market with capital market. However, because of its complex attributes of converging securities and insurance, uncertainty arises to its supervision and hinders its healthy development. Therefore, the insurance supervision of SPV, sponsor insurance company and catastrophe bond investors in catastrophe bonds business should be clarified, so as to clear the obstacles for its further development and application, and also benefit China's disaster relief work.