Spilosoma luteum
Caterpillars munch on a wide range of plants including:
In the autumn, the caterpillars leave their host plant to look for a suitable place to spend the winter. They make themselves a hairy cocoon amongst leaf litter and turn into a chrysalis, emerging as adult moths the following May.
There is even more about this species on the main Butterfly Conservation website
The caterpillars get hairier as they grow bigger.