Sounds like a potter wasp. (sorry, I'm not good with latin insect names) The caterpillers are actually the host for its eggs, which it seals into the small, ball-shaped case. As the wasp larvae hatch, they'll feed on the hosts until they're ready to break out of the mud case. Therefore, they should be considered a beneficial thing, as they are feeding on the larvae of many pest insects. Their larger dwellings can be quite beautiful. Hope you have more around!