If a core of dielectric material is coated by a plasmonic structure of negative dielectric material with nonzero loss parameter, then anomalous localized resonance may occur as the loss parameter tends to zero and the source outside the structure can be cloaked. In this paper we consider cloaking by anomalous localized resonance (CALR) on structures where the core and the shell are confocal ellipses. For such structures we compute the critical elliptic radii such that, for any source inside it, CALR takes place and, for any source outside it, CALR does not take place. The method of this paper uses the spectral analysis of the Neumann-Poincare-type operator associated with two interfaces (the boundaries of the core and the shell) which was developed in [H. Ammari, G. Ciraolo, H. Kang, H. Lee, and G. W. Milton, Arch. Ration. Mech. Anal., 208 (2013), pp. 667-692].